Interest rate contracts, such as swaps, caps and floors, are financial instruments used by companies, banks, and national governments to hedge against the risk derived from changes in the interest rate market. These products comprise the largest component of the financial derivatives market, their total notional amount having estimated to be several times larger than the total gross world product. The purpose of this project is to review the standard HJM approach used by financial institutions to evaluate interest rate contracts in the framework of discrete probabilistic models. The models will be calibrated and applied to the Swedish bonds market and the effect of the current negative interest rate of short term loans in the evaluation of interest rate derivatives will be analysed.
Obs! För GU-studenter räknas projektet som ett projekt i Tillämpad Matematik (MMG900/MMG920).
Förkunskapskrav Basic Stochastic Processes (MVE170/171 or similar) and Options and Mathematics (MVE095)
Examinator Maria Roginskaya, Marina Axelson-Fisk
Institution Matematiska vetenskaper