Ověření vybraných metod oceňování finančních derivátů na úrokové sazby

Abstract

The aim of this thesis is to verify the pricing methods of financial derivatives on interest rates within the Czech stock market. The first part focuses on individual types of interest-rate derivatives and the yield curve. The second chapter describes analytical and numerical pricing methods. From the analytical methods the thesis deals with the Vašíček model, CIR model, Ho-Lee model and Hull-White model. From the numerical methods, which are based on designing tree diagrams, the thesis deals with binomial model on the basis of the Ho-Lee model and trinominal model on the basis of the Hull-White model. Case study for calculating the price of European call bond option is used to verify the chosen methods.