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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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.


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


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