*Tid:***4 september 2000 kl 1515-1600 **

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

*Föredragshållare:***
Andreas Mattson
**.

**Titel:** **
Pricing of Bermudan Swaptions Using a Monte Carlo Simulation Approach
**

*Sammanfattning: *

This work presents an implementation of a Monte Carlo method using least squares for pricing Bermudan swaptions. The first part of the work describes the model used for the evolution of the interest rate structure, the Brace-Gatarek-Musiela model. The second part discusses the pricing of Bermudan swaptions in general, and a method proposed by Longstaff and Schwartz in detail. The method uses least squares to get a conditional expected value of continuation at each possible exercise date, which in turn is used to estimate the optimal stopping rule and to price the instrument. Using a Monte Carlo method, one can avoid difficulties of path dependency and problems with many factors experienced in a tree approach.