Tid: 6 september 2010 kl 15.15-16.00.

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25. (observera dagen och lokalen), Karta!

Föredragshållare: Young Kim

Titel: On implementing Euro-Bund futures pricing (Examensarbete – Master thesis)

Abstract

One of the exciting developments in nance over the last 25 years has been the growth of the derivatives markets. In many situations, both hedgers and speculators nd it more attractive to trade a derivative on an asset than to trade the asset itself. In this thesis, we will take a look at the bond futures contract and derive a method for the pricing of the contracts as well as the dynamics behind it. The focus will be on the implementation part and how to acquire all the essential tools needed to make an ecient and valid pricing of the bond futures contract. Much eort has been put in making the implementation and its presentation as clean and ecient as possible. The implementation is presented in a stepwise manner, starting with the necessary background discussion in regards to bond futures and the factors that have bearing on the contract followed by the steps to set up the mathematical framework. Further the computational implementation applied is thoroughly discussed and the different computational structures are highlighted. We also take a look at the data utilised, where and how it can be acquired.

The full report (pdf)

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