CIR modeling and pricing
Liso, Davide (A.A. 2018/2019) CIR modeling and pricing. Tesi di Laurea in Computational tools for finance, Luiss Guido Carli, relatore Valerio Marchisio, pp. 74. [Master's Degree Thesis]
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Abstract/Index
Stochastic processes. Moments, covariance, and increments of stochastic processes. Short-term interest rate models. The CIR model. Interest rate derivatives. Interest rate cap and floor. MATLAB implementation of CIR process. Parameter estimation. Pricing of cap/floor with CIR. Setting up the framework.
References
Bibliografia e sitografia: p. 48.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Computational tools for finance |
| Thesis Supervisor: | Marchisio, Valerio |
| Thesis Co-Supervisor: | Lippi, Francesco |
| Academic Year: | 2018/2019 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 21 Sep 2020 06:25 |
| Last Modified: | 21 Sep 2020 06:25 |
| URI: | https://tesi.luiss.it/id/eprint/27143 |
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