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  • Μικρογραφία εικόνας
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    Pricing of interest rate derivatives and structured products using Libor market model
    (30-11-2017) Chartios, George; Χάρτιος, Γεώργιος; Athens University of Economics and Business, Department of Informatics; Kiriakopoulos, Konstantinos; Emmanouil, Ioannis
    The main objective in this thesis was to investigate the Libor Market Model as well as to develop a pricing algorithm for the valuation of simple and complex interest rate derivatives or even structured products.The first step concerned the calibration of the model. This was carried out fitting the correlation and volatility coefficients on market data. Once the volatility and correlation coefficients were calculated, the correlation structure and instantaneous volatilities were extracted and used for the development of the model.The second step focused on the simulation of the forward rates within the Libor Market Model framework along with the calculation of the corresponding payoff of each product. As a result the pricing of Caps & Floors, CMS Spread Options, CSM Caps & Floors, CSM Asian Options or even Structured Products (such as Structured Bonds) related to Swap & Libor Rates was accomplished.