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Table Of Contents

1 Introduction
1.1 Saen Options
1.2 Financial introduction
1.3 Mathematical introduction
1.4 Outline of Thesis
2 Short rate models
2.1 Introduction
2.2 Solving the short-rate models
2.2.1 Continuous time Ho-Lee model
2.2.2 Discrete time Ho-Lee model
2.2.3 Comparing the continuous and discrete time Ho-Lee models
2.2.4 Numerical test of the approximations
2.3 Bootstrap and interpolation of the zero rates
2.4 Conclusion
3 Future and bond pricing
3.1 Introduction
3.2 Cheapest-to-Deliver bond
3.3 Finding all the elements to compute the bond prices at delivery
3.3.1 Zero Curve
3.3.2 Short Rate Tree
3.3.3 Volatility σ1
3.3.4 Volatility σ2
4 Fitting with real market data
4.1 Increasing the number of steps in the tree
4.2 Fitting the volatities σ1 and σ2
4.3 Which bond is the cheapest to deliver
4.4 Sensitivity of the futures price
4.4.1 Influence of the bond prices on the futures price
4.4.2 Influence of the volatilities on the futures price
5 Conclusion
6 Appendix
6.1 Derivation of the Vasicek model
6.2 Matlab codes
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Primer on CTD

Primer on CTD

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Published by Jeff McGinn

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Published by: Jeff McGinn on Apr 17, 2010
Copyright:Attribution Non-commercial

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10/25/2011

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