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Πλοήγηση ανά Επιβλέπων "Kiriakopoulos, Konstantinos"

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  • Μικρογραφία εικόνας
    Τεκμήριο
    Pricing of interest rate derivatives and structured products using Libor market model
    (30-11-2017) Chartios, George; Χάρτιος, Γεώργιος; Athens University of Economics and Business, Department of Informatics; Kiriakopoulos, Konstantinos; Emmanouil, Ioannis
    The main objective in this thesis was to investigate the Libor Market Model as well as to develop a pricing algorithm for the valuation of simple and complex interest rate derivatives or even structured products.The first step concerned the calibration of the model. This was carried out fitting the correlation and volatility coefficients on market data. Once the volatility and correlation coefficients were calculated, the correlation structure and instantaneous volatilities were extracted and used for the development of the model.The second step focused on the simulation of the forward rates within the Libor Market Model framework along with the calculation of the corresponding payoff of each product. As a result the pricing of Caps & Floors, CMS Spread Options, CSM Caps & Floors, CSM Asian Options or even Structured Products (such as Structured Bonds) related to Swap & Libor Rates was accomplished.
  • Μικρογραφία εικόνας
    Τεκμήριο
    Pricing of interest rate derivatives using Libor market model
    (2018) Alexandropoulos, Panagiotis; Athens University of Economics and Business, Department of Informatics; Emmanouil, Ioannis; Kiriakopoulos, Konstantinos
    The main objective of this thesis was the calibration of the Libor Market model to real market data as well as the development of a pricing algorithm for the valuation of derivatives.The calibration of the model was performed by fitting the correlation and volatilities of forward Libor rates to the market data. This was achieved through an optimization technique over the market quoted swaption volatilities.The simulation of forward rates was performed using Monte Carlo simulation technique using the calibrated parameters of the model. As an application of the Libor Market model a simple cap was priced.