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Sunday, December 8, 2013

Price Callable Bonds

C ONTENTS I II Introduction Interest put Models II-A Single-factor sits . . . . . . . . . . . . . . . . . . . . . . . . . II-A1 II-A2 II-A3 II-A4 II-A5 II-A6 II-A7 III Options III-A Value the plectrum . . . . . . . . . . . . . . . . . . . . . . . . . . . III-A1 III-A2 IV Black-Scholes equation . . . . . . . . . . . . . . . . . European options . . . . . . . . . . . . . . . . . . . . The Merton amaze (1973) . . . . . . . . . . . . . . . . The Vasicek perplex (1977) . . . . . . . . . . . . . . . The Brennan and Schwartz model (1980) . . . . . . . iv vi vi vii vii vii The Marsh Rosenfeld model (1983) . . . . . . . . . . eight The Cox, Ingersoll and Ross (CIR) model (1985) . . . viii The Hull-White model (1993) . . . . . . . . . . . . . The Lognormal model (1987) . . . . . . . . . . . . . . ix ix x x x xii xiii finite Difference Methods IV-A IV-B base knowledge of numerical differentiation . . . . . . . . . . . cardinal Types of ?nite going methods . . . . . . . . . . . . . . . . . 16 xvii V determine callable Bonds V-A determine zero-coupon bonds with the CIR model . . . . . . . . . . xvii V-A1 V-A2 Pricing zero-coupon bonds . . . . . . . . . . . . . . . xvii Pricing bonds with European travel to options . . . . . . . xx V-B Pricing zero-coupon bonds with Vasicek model . . . . . . . . . . xxiii V-B1 V-B2 Vasicek model . . .
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. . . . . . . . . . . . . . . . . . . xxiii Pricing bonds with European call options . . . . . . . twenty-six ii VI Conclusion xxix Appendix A: Matlab programme for pricing the zero-coupon bond without option (Fig. 1) Appen dix B: Matlab programme for pricing the zero! -coupon bond found on the Vasicek model (Fig. 5) References xxxi xxxiv xxx iii Abstract In this root word, we value callable bonds. The interest rate affect considered follows the Vasicek or the Cox-Ingersoll-Ross (CIR) models. Our analytical results are reached using the implicit Euler ?nite difference method. This paper is organized as follows: Section I...If you want to make up a full essay, order it on our website: OrderCustomPaper.com

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