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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Valuatuion of interest rates derivatives through LIBOR market model
 Nistorová, Ružena ; Myška, Petr (advisor) ; Zichová, Jitka (referee)
In this thesis, the interest rates derivatives and their valuation based on the future development of interest rates are presented. The Hull-White model focusing on the modeling of the instantaneous spot rates is described in detail. The model is calibrated to the market caplet volatilities and is used to evaluate various interest rates derivatives. The main emphasis is put on the LIBOR market model describing the development of set of forward rates. There are presented and in detail discussed results of the calibration of LMM model on the market swaption volatilities. At the end the two models are compared.
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Interest rate swaps and it's pricing
 Holička, Petr ; Málek, Jiří (advisor) ; Paholok, Igor (referee)
This thesis deals with interest rate swaps. In addition to chapters on basic principles of interest rate swaps also provides insight into the current situation in the derivative markets. The main part is devoted to the valuation of interest rate swaps, where is in addition to the theoretical site also solved the problem of obtaining the necessary data for calculations in practice. The conclusion of this work is devoted to two practical examples, which are dealing with the problem of the valuation of interest rate swaps.
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