Aplikace a ověření metod oceňování derivátů na úrokové sazby

Abstract

The thesis is focused on interest rates derivatives valuation issues. The aim of the thesis is to apply and verify the valuation methods of interest rates derivatives in czech capital market conditions. The first theoretical chapter describes general features of particular types of interest rates derivatives and structure of yield curves. The second theoretical part contains description of pricing methods, especially analytical and numerical methods. Of analytical methods are described interest rates models, such as Vasicek, CIR, Ho-Lee and Hull-White models. From the numerical methods, the thesis deals with binomial tree on the basis of the Ho-Lee model. The practical part of the thesis is focused on analytical pricing of european call options on zero-coupon and coupon-bearing bonds, and valuating of european and american call option on coupon-bearing bond, which is based on binomial tree.