Swaption pricing under the single Hull White model through the analytical formula and Finite Difference Methods
Due to the interesting financial moment we are living, my motivations to write this Master thesis has mostly been the behavior of interest rates and models that can be used predict them. Thus, in this dissertation I have presented theHull-White model and the way to calibrate it against market data s...
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| Format: | Others |
| Language: | English |
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Mälardalens högskola, Utbildningsvetenskap och Matematik
2016
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-32332 |