Tid: 18 april 2005 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Mattias Jansson.
Titel: On the pricing of Bermudan swaptions with an application to limited observed market data. (Examensarbete)
Sammanfattning: The focus of this thesis is on the risk neutral valuation of Bermudan swaptions and its application to pricing situations where observed market data used for calibration are limited. By exploring the properties of the solution to the optimal stopping problem that specifies the price process of these instruments, a general valuation method suited for practical computations is suggested. The valuation method is based on restricting the evolution of the short rate process to that of a recombining binomial tree and is able to produce fast price estimates of Bermudan swaptions based on limited input data when specifying the dynamics of the short rate process to the Ho-Lee model.