Tid: 14 april 2003 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Erik Sjöberg
Titel: Värdering av callables: modellering och implementering. (Examensarbete)
This master's thesis explores pricing of callables. These are special bonds that allow the issuer at a number of certain times to buy back the bond. Three different models for the short-term interest rate; Hull and Whites model, Black, Derman and Toys as well as Black and Karsinsikis model have been adjusted for pricing callables. The models have been implemented in Quantlab, a program for quantitative analysis, and pricing is done according to real-time data.
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