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Pricing of interest rate derivatives using Libor market model
(2018) Alexandropoulos, Panagiotis; Athens University of Economics and Business, Department of Informatics; Emmanouil, Ioannis; Kiriakopoulos, Konstantinos
The main objective of this thesis was the calibration of the Libor Market model to real market data as well as the development of a pricing algorithm for the valuation of derivatives.The calibration of the model was performed by fitting the correlation and volatilities of forward Libor rates to the market data. This was achieved through an optimization technique over the market quoted swaption volatilities.The simulation of forward rates was performed using Monte Carlo simulation technique using the calibrated parameters of the model. As an application of the Libor Market model a simple cap was priced.