Financial Quantitative Algorithms
Here are analyzed some of the One factor Interest rate derivatives on Zero Coupon Bonds, using the Monte Carlo technique. You will be able to analyze the Price of the Zero Coupon Bond as a function of maturity, the short term interest rate as a function of time and the price of european call and puts written on the Bond.
MC on Interest Rate Derivatives (One factor Models) for Zero Coupon Bonds
|Monte Carlo method||Ho Lee Model European Call and Put||MC Ho Lee|
|Monte Carlo method||Hull White Model European Call and Put||MC Hull White|
|Monte Carlo method||Black Derman Toy Model European Call and Put||MC BDT|
|Monte Carlo method||Brace Gatarek Musiela / Jamishidian||MC BGM|