Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Swaption pricing"
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Swaption pricing under Libor market model using Monte-Carlo method with simulated annealing optimization
(Strathmore University, 2021)The thesis seeks to use simulated annealing optimization to minimize the difference between the value of the libor model volatility and the ones quoted in the market for a congruent pricing of a Swaption contract. The ...