Tid: 10 augusti 2001 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Arnaud Leclerc.
Titel: Pricing quanto long-term warrants on risky bonds. (Examensarbete)
Sammanfattning:
We price a warrant on a basket of credit-risky bonds quoted in
different currencies with a payoff submitted to a quanto condition.
The warrant is a long-term call option with an Asian tail.
We use an appropriate long-term one-factor (diffusion) interest rate
model, calibrated using the Moment Matching Method and the General
Method of Moments and model the default risk of the bond issuers with
an appropriate Poisson random time.
Finally, we suggest an algorithm able to price any warrant as
defined above, through Monte Carlo simulating the exchange rates, the
interest rates and the default processes.