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Interest rate models: MatLab projects' topics
Roccioletti-Tarantino-Rocchi: Barrier (single or double) cap with market model
Nour Hemida-Mazzero: Parisian swaption with factor models (choose one)
Rizzo-Fuchsberges: Barrier (single or double) swaption with market model
Neri: Bermudan swaption with market model
Sabbatini: Parasian cap with factor models (choose one)
The project involves always a pricing problem that can be soved by: (1) a simulation approach where the focus is the discussion of the sensitivities of the price with respect to the relevant parameters of the model or (2) a calibration approach through market data (downloaded by DataStream available in the computer Lab (Scaravilli) and in Bigiavi.
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Published on: October 21 2014
