*Tid:***17 maj 2004 kl 1615-1700 **

*Plats :***Seminarierummet 3733**, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7. Karta!

*Föredragshållare:***
Lisa Larsson.
**

**Titel:** **
Pricing Bermudan Style Swaptions Using the Calibrated Hull White Model.
(Examensarbete)
**

* Sammanfattning: *
The Hull and White model for the short rate is reviewed and a trinomial tree for the short- rate is built and adjusted to current term structure. To be able to use the tree for pricing of a Bermudan swaption, the tree is calibrated to market prices connected with the derivative that is to be priced. The underlying derivatives for the Bermudan swaption are the European swaptions which have exercise times that coincide with the exercise times in the Bermudan swaption. Finally, the risks are calculated so that a hedge for the Bermudan can be made. The risks considered here are the delta, vega and gamma risks. How the model is implemented by use of object oriented design is also shown. A numerical example is presented in the end of the paper.