Τιμολόγηση επιτοκιακών παραγώγων
Κώτσαρη, Ευγενία Α.
KeywordsΜοντέλο Vasicek ; Μοντέλο CIR ; Τιμολόγηση ; Ομόλογο μηδενικού τοκομεριδίου ; Προβλεπτική ικανότητα ; MATLAB ; Predictive ability ; Interest rate caps
In recent years, the development of interest rate derivatives market attracts increasingly the interest of financial researchers on the study of the term structure of interest rates which is a vital and important sector in financial economics. Therefore for this reason, the importance of proper and accurate prediction of the future structure of interest rates makes researchers want to maximize the chance of finding the most appropriate models. Α result of the reliable and accurate prediction is the effective pricing of interest rate derivatives. Pricing of interest rate derivatives, and specifically the comparison between two different models, is the subject of this study. Firstly, we present a historical overview of pricing interest rate derivatives as their common comparability framework. Then we describe the pricing models of interest rate derivatives of one factor, the Vasicek and the CIR models and their extensions. The empirical study is performed via the programming language of Matlab for the Extended Vasicek model and the Extended CIR model, as well as for interest rate caps. Finally, estimating the parameters of each model with the iterative algorithm process of Levenberg-Marquardt and testing their predictive ability, we conclude that these models are reliable pricing methods of interest rate derivatives.