Tid: 20 september 1999 kl 1615-1700

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

Föredragshållare: Yuna Cho

Titel: On pricing mortgage backed bonds with term structure models (Examensarbete)


The purpose of this thesis is to price mortgage backed bonds using different term structure models. The aim is to see how the pricing of these securities differ depending on the chosen term structure model, all other circumstances being equal.

The compared models are Hull-White, Cox-Ingersoll-Ross, an extended version of Cox-Ingersoll-Ross, and Black-Derman-Toy. The Hull-White model is the benchmark.

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