HJM framework and pricing of coupon bond options
Pistelli, Pietro (A.A. 2023/2024) HJM framework and pricing of coupon bond options. Tesi di Laurea in Mathematical methods for finance, Luiss Guido Carli, relatore Fausto Gozzi, pp. 88. [Master's Degree Thesis]
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Abstract/Index
The setting. Stochastic calculus. Risk-neutral pricing. HJM framework. Basic dynamics. HJM dynamic. The Ho-Lee and the Hull-White models. Empirical application. Data fetching and fundamental quantities. Implementation of the Ho-Lee model. Implementation of the Hull-White model. Coupon bond options.
References
Bibliografia: pp. 87-88.
| 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: | Mathematical methods for finance |
| Thesis Supervisor: | Gozzi, Fausto |
| Thesis Co-Supervisor: | Antonelli, Fabio |
| Academic Year: | 2023/2024 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 08 May 2025 10:51 |
| Last Modified: | 08 May 2025 10:51 |
| URI: | https://tesi.luiss.it/id/eprint/42052 |
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