Monte Carlo methods and market models for European swaptions pricing
Bruno, Laura (A.A. 2019/2020) Monte Carlo methods and market models for European swaptions pricing. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 77. [Master's Degree Thesis]
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Abstract/Index
Affine models for term structure modelling. Exotic options and European swaptions. Structural affine models. Flat and forward volatilities. Probability measures. Forward neutral models. Volatility structures. Monte Carlo Methods in finance. An introduction to Monte Carlo. Monte Carlo integration. The efficiency of the estimator. Generation of random numbers. Variance reduction techniques. Monte Carlo simulation to price swaptions. Swaptions pricing. European swaptions and their use. The choice of the model. Derivation of the specific stochastic process used in Monte Carlo simulation. Modern pricing techniques in the global markets’ landscape. Suggestions for future researches: bermudian swaptions, Longstaff-Schwartz algorithm and least squares Monte Carlo.
References
Bibliografia: pp. 57-60.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Outstanding Thesis: | Department of Business and Management |
| Chair: | Asset pricing |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Pirra, Marco |
| Academic Year: | 2019/2020 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 28 Apr 2021 11:06 |
| Last Modified: | 29 Apr 2021 09:15 |
| URI: | https://tesi.luiss.it/id/eprint/29241 |
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