Tipo di tesi
Tesi di laurea magistrale
Titolo
Option pricing to hedge interest rate risk
Dipartimento
ECONOMIA E MANAGEMENT
Corso di studi
SCIENZE ECONOMICHE
Parole chiave
- collar pricing
- duration matching
- economic scenario generator
- guaranteed minimum returns
- insurance policy
- interest rate swaps
- risk management
Data inizio appello
30/04/2014
Riassunto (Italiano)
The aim of this work is to show the implementation of two pricing techniques, namely Black’s formula for Caps and Floors and Monte Carlo Option Pricing. Although different, they serve the same purpose: find the costs associated to some investment strategies able to hedge the interest rate risk to which both Commercial Enterprises and Local Public Bodies are exposed to. The common theoretical framework under which they are developed is provided by the Libor Market Model.
