Διαχείριση του επιτοκιακού κινδύνου μέσω τεχνικών προσομείωσης
Simulation techniques in interest rate risk management
In order to evaluate the present value of a future cash flow (e.g. a bond invest-ment), it is necessary to know the future financial market interest rates. These in-terest rates cannot be considered fixed or known in advance, and therefore there is a risk concerning the value of the investment which may be diminished due to unforeseen fluctuations in future interest rates (interest rate risk). In recent years, many models have been proposed in order to describe interest rate fluctuations (e.g. Vasicek model, CIR model, etc.). The purpose of this dissertation is to briefly review and implement the well-known techniques of interest rate risk management based on the simulation of the above-mentioned models using appropriate software (Wolfram Mathematica). As an application, the fair value of certain financial de-rivatives is also computed via monte carlo simulation assuming stochastic interest rates.