Σύγκριση μεθόδων τιμολόγησης επιτοκιακών παραγώγων
KeywordsΕπιτοκιακά παράγωγα ; Μοντέλα επιτοκίων ; Βραχυπρόθεσμο επιτόκιο ; Προσομοίωση Monte Carlo ; Τιμολόγηση ; Interest rate caps ; Interest rate derivatives ; Interest rate models ; Short rate ; Monte Carlo simulation ; Pricing
This thesis examines interest rate derivatives and particularly tries to compare the pricing methods of these financial products through interest rate models. Specifically, they will be presented models which give closed form solutions and are necessary for the pricing of interest rate derivatives and in particular interest rate caps. The short rate models which are going to be examined are namely, Vasicek, Cox-Ross-Ingersoll and Ho-Lee model. The first two models are equilibrium models which assume that today’s term structure of interest rates is an exogenous parameter. Instead, Ho-lee model considers today’s term structure as an endogenous parameter. The above models are analysed by presenting their main features. After that, short rate is simulated by Monte Carlo techniques in order to pricing interest rate caps.