Pricing of FRA and IRS under OIS discounting
| Thesis title in Czech: | Oceňování FRA a IRS při OIS diskontování |
|---|---|
| Thesis title in English: | Pricing of FRA and IRS under OIS discounting |
| Key words: | FRA, IRS, IBOR, OIS, oceňování, diskontování, forwardová úroková míra, kolateralizace finančních derivátů |
| English key words: | FRA, IRS, IBOR, OIS, discounting, pricing, forward rates, financial derivatives collateralization |
| Academic year of topic announcement: | 2015/2016 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | angličtina |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | RNDr. Jakub Černý, Ph.D. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 07.01.2016 |
| Date of assignment: | 07.01.2016 |
| Confirmed by Study dept. on: | 15.01.2016 |
| Date and time of defence: | 08.09.2016 00:00 |
| Date of electronic submission: | 27.07.2016 |
| Date of submission of printed version: | 28.07.2016 |
| Date of proceeded defence: | 08.09.2016 |
| Opponents: | doc. RNDr. Jan Večeř, Ph.D. |
| Advisors: | doc. RNDr. Jan Hurt, CSc. |
| Guidelines |
| The thesis shall discuss the impact of financial crisis on pricing of forward rate agreements and interest rate swaps. The mathematical foundations for pre-crisis and post-crisis pricing frameworks of these financial derivatives will be explained and discussed. The thesis will also contain the application of both methodologies to the valuation of the FRA and IRS using real market data. |
| References |
| [1] Brigo D., Mercurio F.: Interest Rate Models - Theory and Practice, Springer Finance, Berlin, 2006, ISBN: 9783540221494
[2] Hull J. C.: Options, Futures, and Other Derivatives, 9th Edition, Pearson Prentice Hall, 2014, ISBN: 9780133456318. [3] Kenyon C., Stamm R.: Discounting, Libor, CVA and Funding: Interest Rate and Credit Pricing. New York, NY: Palgrave Macmillan, 2012. ISBN 9781137268518. [4] Witzany J.: Financial Derivatives Valuation, Hedging and Risk Management, Oeconomica, Prague, 2014, ISBN: 9788024519807. [5] Shreve S.: Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Springer, New York, 2004, ISBN: 0387249680. |