AbstractsBusiness Management & Administration

Swaption pricing under the single Hull White model through the analytical formula and Finite Difference Methods

by Lopez Victor Lopez

Institution: Mälarden University
Year: 2016
Keywords: Hull White; Swaptions; Negative interest rates; Crank-Nicolson; Natural Sciences; Mathematics; Computational Mathematics; Naturvetenskap; Matematik; Beräkningsmatematik; Mathematics/Applied Mathematics; Matematik/tillämpad matematik
Posted: 02/05/2017
Record ID: 2134321
Full text PDF: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-32332


Due to the interesting financial moment we are living, my motivations to write this Master thesis has mostly been the behavior of interest rates and models that can be used predict them. Thus, in this dissertation I have presented theHull-White model and the way to calibrate it against market data so it can be used to price interest rate derivatives. The reader can find both theoretical and practical presentations and examples along with the code to program them byhim/herself.