KTH Matematik  

Matematisk Statistik

Tid: 21 Juni 2010 kl 15.15-16.00.

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25. (observera dagen och lokalen), Karta!

Föredragshållare: Oxana Tiganas

Titel: Risk modeling and pricing of Euribor futures and options using the Ho-Lee model (Examensarbete – Master thesis)


The main purpose of this master thesis, commissioned by NASDAQ OMX, is to study the risk neutral valuation of Fixed Income futures contracts and Fixed Income futures options. More specifically Euribor instruments were studied since they are the most liquid short rate contracts in Europe and hence have the best price picture. Specifying the dynamics of the short rate process to the Ho-Lee model, we show the analytical formula for pricing Euribor futures contracts. The valuation method for pricing Euribor futures options is based on restricting the evolution of the short rate process to that of a recombining binomial tree. Also, the historical method for computing Value-at-Risk measure was implemented for portfolios consisting of Euribor futures and Euribor futures options.

The full report (pdf)

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Sidansvarig: Filip Lindskog
Uppdaterad: 25/02-2009