Print Email Facebook Twitter Swaption Pricing Under Affine Interest Rate Models Title Swaption Pricing Under Affine Interest Rate Models Author Zheng, C. Contributor Hans Van Der Weide, J. (mentor) Faculty Electrical Engineering, Mathematics and Computer Science Department Applied mathematics Date 2012-02-28 Abstract In this thesis, we will analyze swaptions whose short term interest rates are assumed to follow some affine models with dimension of factors more than two, so called multiple-factor interest rate models. Considering there is generally no analytical swaption price, we attempt to approximate it, and our discussion will focus on one of these approximation method proposed by Collin-Dufresne and Goldstein. I implement and develop this method by providing an accurate measure of approximation errors. Besides, there are several of my innovation and research recommendations on my last chapter with respect to other methods to price swaptions. Subject swaptionaffine interest rate modelcumulantmeasure of errors To reference this document use: http://resolver.tudelft.nl/uuid:f337b8e2-585e-484d-b2b3-07893e2e7edc Part of collection Student theses Document type master thesis Rights (c) 2011 Zheng, C. Files PDF Msc Thesis Zheng 2012.pdf 1.37 MB Close viewer /islandora/object/uuid:f337b8e2-585e-484d-b2b3-07893e2e7edc/datastream/OBJ/view