Name: models for interest rates and interest rate derivatives
Creator: Sun, Li
Keywords: ddc:330, 330 Wirtschaft, ddc:310, 310 Sammlungen allgemeiner Statistiken

descriptionPublicationkeyboard_double_arrow_right Thesis , Master thesis 12 May 2009Publisher:Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät

Authors: Sun, Li;

doi: 10.18452/14109

models for interest rates and interest rate derivatives

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Abstract

This thesis gives an introduction to the principles of modern interest rate theory. After covering the basic tools for working in an environment with stochastic interest rates, we introduce different models for the term structure. The principals of risk neutral pricing are introduced and the Black model is derived. Closed form bond valuation equations are derived for the Cox, Ingersoll and Ross (CIR) model. Short examples of calibration of the Vasicek, CIR and LIBOR market model are given.

zugl. Masterarb. von Li Sun

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Humboldt-Universität zu Berlin
Germany

Keywords

ddc:330, 330 Wirtschaft, ddc:310, 310 Sammlungen allgemeiner Statistiken

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