FX modelling under collateralization

Summonte, Chiara (2016) FX modelling under collateralization. [Laurea magistrale], Università di Bologna, Corso di Studio in Matematica [LM-DM270]
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Abstract

We present the market practice for interest rate yield curves construction and pricing interest rate derivatives. Then we give a brief description of the Vasicek and the Hull-White models, with an example of calibration to market data. We generalize the classical Black-Scholes-Merton pricing formulas, considering more general cases such as perfect or partial collateral, derivatives on a dividend paying asset subject to repo funding, and multiple currencies. Finally we derive generic pricing formulae for different combinations of cash flow and collateral currencies, and we apply the results to the pricing of FX swaps and CCS, and we discuss curve bootstrapping.

Abstract
Tipologia del documento
Tesi di laurea (Laurea magistrale)
Autore della tesi
Summonte, Chiara
Relatore della tesi
Scuola
Corso di studio
Indirizzo
Curriculum A: Generale e applicativo
Ordinamento Cds
DM270
Parole chiave
collateral deposits futures swap Vasicek Hull-White Black-Scholes-Merton foreign currency FX market FX Swap cross-currency swap curve bootstrapping multiple currencies
Data di discussione della Tesi
23 Settembre 2016
URI

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