Interest Rate Derivatives Pricing Models |

N. Kiriakidou. Interest Rate Derivatives Pricing Models.
This MSc dissertation is organized as follows: Chapter 1 presents the definitions and the mathematical tools, which are needed for pricing interest rate derivatives. Chapter 2 presents the pricing models of Vasicek, Cox Ingersoll & Ross and Ηο-Lee. Chapter 3 briefly presents the interest rate derivatives Cap, Floor and Swap. Finally, Chapter 4 presents the numerical results via Monte-Carlo simulation of interest rate pricing models and the prices of Cap contract for each case. The results concern the Libor USD, Libor GBP and Libor EU interest rates. All the simulations are performed using R. |