Aplikace a ověření metod oceňování úrokových derivátů

Abstract

The diploma thesis is focused on interest rate derivatives pricing. The aim of thesis is description and verification of interest rate pricing methods on selected interest rate derivatives in czech capital market conditons. The whole work is composed of three chapters, two theoretical parts and one practical part. The first theoretical part of the work is devoted to genereal feature of interest rate derivatives and function of yield curve. The second theoretical part includes description methods of pricing approaches, especially analytical, numerical methods and simulation Monte Carlo. The practical part of work is focused on pricing interest rate swap, cap and floor to 21. 2. 2012. The valuation is made by using Black model, Vasicek model and Hoo Lee model. The simulation Monte Carlo is recommended to the application.