Tid: 20 februari 2012 kl 11.15-12.00. (Observera dagen och tiden)Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Arnaud Blanchard
Titel: The Two-Factor Hull-White Model: Pricing and Calibration of Interest Rates Derivatives (Examensarbete - Master thesis)
Abstract In this paper, we study interest rate models and their accuracy in the pricing of common structured products. We specifically focus on the Hull-White model, which was first established in the article "Pricing interest-rate derivative securities" by John Hull and Alan White. Our goal is to study this model, calibrate it on market prices, and derive prices for the most commonly traded products. In particular, we investigate whether it gives a satisfying description of real financial market prices.
|Sidansvarig: Filip Lindskog