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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Pricing with interest rate trees
 Novotová, Simona ; Starinská, Katarína (advisor) ; Branda, Martin (referee)
This thesis deals with interest rate trees, their construction and use in pricing. At the beginning, work deals with various types of interest and selected financial derivatives, which need to be properly priced. For pricing, it is necessary to know the evolution of interest rates, which is simulated by various stochastic models. Next section offers summary of the models. For two models (Rendelman-Barter and Hull-White model) the construction of a binomial and trinomial tree is studied. The work describes a two-phase algorithm, which is used for generation of trinomial tree. Interest rates obtained from the constructed tree are used for the valuation of bond options.
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Models of interest rate and interest rate options valuation
 Lendacký, Peter ; Málek, Jiří (advisor) ; Křížek, Tomáš (referee)
The interest rate dynamics is an important fundamental for valuation more complex structures of interest rate derivatives. The goal of this diploma thesis is to describe the use of models of interest rate for interest rate option pricing. The paper could be logically divided into two parts, the theoretical one and practical one. In the first part the essentials for pricing theory are introduced as risk neutrality, martingales, stochastic differential calculus, and theory of arbitrage. On their basis four basic yield curve models are derived, Vasicek model, model Cox-Ingersoll-Ross , Black-Derman-Toy and two factor Heath-Jarrow-Morton model. Second part provides the analysis of yields of U.S. Treasury bonds with different maturity. At the end CIR model and BDT binomial tree are used for valuation of option on 10 years yield.
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