Diskretni HJM model za vrednotenje obrestnih finančnih instrumentov : delo diplomskega seminarja

Škoberne, Jan (author), Košir, Tomaž (mentor)

Predstavil sem HJM model za vrednotenje obrestnih finančnih instrumentov in bolj specifičen HJM LIBOR model. Podal sem predpostavke modelov in razložil osnovne pojme. Pojasnil sem osnovni izrek vrednotenja in določil do tveganja nevtralno vrednotenje brezkuponskih obveznic. Ovrednotil sem obrestno dno in obrestno kapico ter prikazal uporabo na primeru. S pariteto sem pokazal povezavo v vrednotenju obrestne kapice in obrestnega dna. V večobdobnem HJM modelu sem vrednotil dogovor o terminski obrestni meri in terminske pogodbe. S HJM LIBOR modelom sem razložil različne izračune volatilnosti in določil izračune grških parametrov, s katerimi se zaščitimo pred tveganji obrestnih mer.

• Language: Slovenian
• Keywords: obrestna kapica, obrestno dno, opcijska obrestna zamenjava, ščitenje
• Work type: Final seminar paper
• Typology: 2.11 - Undergraduate Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Year: 2021
• PID: 20.500.12556/RUL-124899
• UDC: 519.8
• COBISS.SI-ID: 58167811
• Publication date in RUL: 25.02.2021

Secondary language

• Language: English
• Title: HJM model for interest rate derivatives

Abstract

I presented the HJM model for pricing interest rate instruments and the more specific HJM LIBOR model. I introduced assumptions of the model and explained basic concepts. I explained basic risk neutral valuation theorem under the martingale condition. I evaluated caplet and floorlet as well as gave an example. I showed the parity relation that links values of caplet and floorlet. In the multiperiod HJM model I evaluated forward rate agreements and futures. I explained different ways of volatility computations with HJM LIBOR model and the greeks with which we can hedge against interest rate risks.

• Keywords: interest rate cap, interest rate floor, swaption, hedging