Efficient methods for calibrating and pricing interest rate options

• Autores: Lluís Navarro
• Directores de la Tesis: Antonio Falcó Montesinos (dir. tes.), Juan M. Nave Pineda (codir. tes.)
• Lectura: En la Universidad Cardenal Herrera-CEU ( España ) en 2013
• Idioma: español
• Tribunal Calificador de la Tesis: Alejandro Balbás de la Corte (presid.), Francisco Javier Muñoz Almaraz (secret.), Mariano González Sánchez (voc.), Santiago Carrillo Menéndez (voc.), Carlos Vázquez (voc.)
• Calificación: Apto Cum Laude
• Materias:
  • Ciencias económicas
    • Economía internacional
      • Financiación internacional
• Enlaces
  • Tesis en acceso abierto en: Repositorio Institucional CEU
• Resumen

  • Efficient Methods for Calibrating and Pricing Interest Rate Options Lluís Navarro Girbés Abstract This PhD thesis deals with the valuation and hedging of interest rate derivatives, a major topic in Financial Economics. Chapters 1, 2 and 3 contain a self contained summary of previous literature, while the rest of the thesis present the new contributions of this research work.

    In particular, in Chapter 4 we review the general features of the geometric view of the HJM models, introducing the concept of consistent families whith this class of models.

    In Chapters 5 and 6 we use the ideas of Chapter 4 to propose multi-objective extensions of several calibration methods. As a consequence, a consistent framework for the calibration of vanilla interest rate derivatives is developed.

    Finally, new pricing methods are introduced in the Chapter 7 as an application of the findings of previous chapters. In particular, several discretization and simulation techniques to the valuation of vanilla caps, bond options and binary caps are derived.