426 research outputs found
Monte Carlo Greeks in the lognormal Libor market model
No full textGreeks are sensitivities of option prices with respect to certain parameters. The calculation of Greeks is needed for hedge strategies and to manage or measure risk. As the underlying models get more complicated, the calculation of these Greeks can become far more difficult than the pricing of options. In this thesis we consider the Greeks of both European- and Bermudan-style Libor rate contracts. To model forward Libor rates we use the lognormal forward Libor market model. Because of the dimensionality of the model, only Monte Carlo methods are capable to estimate these Greeks. Therefore various Monte Carlo methods to estimate the Greeks will be considered and adjusted to our model settings. The methods are tested and compared, and if possible, improved. We improve the likelihood ratio method for the Greeks of Bermudan-style options by the use of a predictor-corrector scheme. Another succesful method which can be used for Greek calculations is given by the pathwise sensitivity method.Numerical analysisApplied mathematicsElectrical Engineering, Mathematics and Computer Scienc
Modelling the Libor transition: Implementing and extending the generalized forward market model
No full textInterbank-offered-rates play a critical role in the hedging processes of banks, hedge funds or institutional investors. However, the financial stability board recommended to replace these rates by alternative risk-free-rates at the end of 2021. The new rates will be backward-looking rates and therefore, the payoff definitions of interest rate derivatives will change and the currently used Libor Market model to price exotic interest rate derivatives is no longer feasible. This thesis examines a new type of model, the forward market model, which is able to generate both the new backward-looking rates as the current forward-looking rates under the same stochastic process. Besides, contrary to the Libor Market Model, the dynamics under the risk-neutral measure can obtained. Consequently, the new forward market model should always be chosen over the Libor market model. Two issues regarding the forward market model are also considered in this thesis. First of all, the forward market model cannot deal with negative interest rate, this is solved by implementing a shifted version of the log-normal model. Second, a log-normal model is unable to reproduce the implied volatility smile which is present in the market. We solve this issue by combining the forward market model together with the SABR model. Under a few assumptions we derive the shifted SABR forward market model which hasn't been derived in the literature. The model is validated by pricing a new type of caplet that will be present in the post-Libor world, where the payoff won't be known until the payment date. We find that the implementation of this new shifted SABR-FMM can accurately price zero-coupon bonds and caplets in the market. Therefore, we conclude that this new type of model is a possible solution to price exotic interest rate derivatives in the post-Libor world.Applied Mathematic
On the pricing of Bermudan swaptions in the multi-curve LIBOR Market Model
No full textThe aim of this research is to extend the classical LMM to a multi-curve framework and to analyze the impact of this extended model on the most liquid exotic interest rate derivatives. A possible parametrization for the instantaneous volatility and correlation structure is presented and the (log-)normal dynamics of the OIS rates under different measures are obtained. The forward LIBOR rates are modeled at a constant additive spread over the OIS curve. An analytical closed-form approximation of the European swaption volatility in the multi-curve framework is derived and its accuracy is verified by comparing the Monte Carlo prices of a set of European swaptions with the corresponding prices obtained using the approximation. It is demonstrated that the approximation reaches the highest accuracy for swaptions characterized by short underlying tenors and strikes close to the swap rate. The multi-curve LIBOR Market Model is calibrated to the swaption market applying this approximation. Using the calibrated model distinct Bermudan swaptions are priced by means of Monte Carlo. These prices are compared to the corresponding prices obtained using the one-factor Hull-White model and the impact of the model selection is analyzed.Electrical Engineering, Mathematics and Computer ScienceDelft Institute of Applied MathematicsApplied Probabilit
L^2-theoretical study of the relation between the LIBOR market model and the HJM model
No full textIn previous works, the author introduced metric spaces of term structure models to study the relation between the LIBOR market model and the HJM model. However that framework is not comprehensive, nor does it admit an extendable structure. This paper introduces a new metric space to better develop the perspective argument. A metric space is naturally constructed on the set of bond price processes such that the space allows many types of term structure models. This metric presents a general view on the relation between the LIBOR market model and the HJM model. Consequently, the LIBOR market model is placed at the boundary of the HJM model set.MI: Global COE Program Education-and-Research Hub for Mathematics-for-IndustryグローバルCOEプログラム「マス･フォア･インダストリ教育研究拠点
L^2-theoretical study of the relation between the LIBOR market model and the HJM model
No full textMI: Global COE Program Education-and-Research Hub for Mathematics-for-IndustryグローバルCOEプログラム「マス･フォア･インダストリ教育研究拠点」In previous works, the author introduced metric spaces of term structure models to study the relation between the LIBOR market model and the HJM model. However that framework is not comprehensive, nor does it admit an extendable structure. This paper introduces a new metric space to better develop the perspective argument. A metric space is naturally constructed on the set of bond price processes such that the space allows many types of term structure models. This metric presents a general view on the relation between the LIBOR market model and the HJM model. Consequently, the LIBOR market model is placed at the boundary of the HJM model set
Integration tools for the implementation of secure online payment in the corporate portal
No full textTato diplomová práce se zabývá vytvořením elektronického obchodu a integrací bezpečných plateb na internetu přes zabezpečené platební brány. Elektronický obchod je založen na Open Source redakčním systému Joomla a komponentě VirtueMart. Jako platební metody byly použity platební systémy GoPay a PayPal. Tato práce podrobně popisuje instalaci, konfiguraci, zabezpečení a princip funkce platebních systémů v elektronickém obchodě.This master thesis deals with the creation of e-shop and integration of secure online payments via a secure payment gateway. E-shop is based on Open Source Joomla and VirtueMart component. As the payment methods are used payment systems GoPay and PayPal. This thesis describes the installation, configuration, security and operating principles of payment systems for electronic commerce.Ústav informatiky a umělé inteligenceobhájen
Securing of the IT Infrastructure in Cars
No full textDiplomová práca rieši problematiku zabezpečenia IT infraštruktúry automobilov. Úvodná časť predstavuje priblíženie základných princípov fungovania komponentov IT infra-štruktúry a je doplnená o prehľad nástrojov vhodných na využitie pri testovaní zabezpe-čenia týchto komponentov. Výstup práce tvorí prezentácia identifikovaných hrozieb číha-júcich na automobily z pohľadu kybernetickej bezpečnosti a zraniteľností, ktoré môžu byť zneužité predstavenými hrozbami.The diploma thesis solves issues related to securing of IT infrastructure of cars. Initial part presents approach to the basic principles of the operation of IT infrastructure compo-nents and is complemented by overview of suitable tools for security testing of these components. The output of the thesis consists of presentation of identified threats lurking on cars from cyber security point of view and vulnerabilities that can be misused by threats.Ústav elektroniky a měřen
Resolved Tasks from the Programming of Small Robots with LEGO Mindstorms EV3
No full textDiplomová práce je zaměřena na praktické úlohy se stavebnicí LEGO Mindstorms EV3 využitelné pro kurzy programování a robotiky na základních i středních školách. Teoretická část představuje využití interaktivních stavebnic v projektové výuce a seznamuje s možnostmi stavebnice. Výstupem práce je soubor řešených na sebe navazujících úloh se stavebnicí LEGO Mindstorms EV3. Praktická část se věnuje realizaci úloh, systému hod-nocení a vyhodnocení navržených úloh.This thesis is focused on practical tasks with LEGO Mindstorms EV3. These tasks can be used for courses of programming and robotics on primary or secondary schools. The theo-retical part introduces use of interactive building sets in project teaching. It also introduces what is possible to do with this set. The output of the thesis is the set of solved consequen-tial tasks with LEGO Mindstorms EV3. The practical part is focused on realization and the evaluation system of suggested tasks.Ústav informatiky a umělé inteligenc
Analysis and control of heat distribution supply chain using three-dimensional virtual scene
No full textO potrzebie socjologii snów słów kilka
Get PDFThe article by Grzegorz Libor treating about the need of creating the sociology of
dreams, a new branch in sociology, constitutes an intellectual provocation. The author, in his considerations, moves from an individual dimension of the notion of a dream to the social one, and explains how the dream is interpreted in the Biblical tradition, psychology, psychoanalysis, cognitivism, as well as popular culture. The researcher also outlines the methodology of studies in the sociology of dreams thanks to the proposal of realizing traditional questionnaires and conducting Internet analysis. For example social portals where people share their dream experiences
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