City Research Online

Valuation of Single-Factor Interest Rate Derivatives.

Sorwar, G. (2000). Valuation of Single-Factor Interest Rate Derivatives.. (Unpublished Doctoral thesis, City, University of London)


The seminal papers of Black-Scholes and Merton stimulated growth not only of equity commodity derivatives but also of term structure interest rate models and the valuation of bonds and contingent claims based on these term structure interest rate models. Today research into term structure models is important both to academics and practitioners alike. Unfortunately bond prices and interest rate contingent claim prices based on these term structure models, with few exceptions cannot be valued analytically. To date a number of numerical methods have been developed to solve this problem. The objective of this thesis is to test the existing numerical methods as well as introducing a new method within the context of the single factor interest CKLS model - the CKLS model encloses the earlier single factor term structure of interest rate models.

Publication Type: Thesis (Doctoral)
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Departments: Bayes Business School
Bayes Business School > Bayes Business School Doctoral Theses
Bayes Business School > Finance
Doctoral Theses
[thumbnail of Sorwar thesis 2000 PDF-A.pdf]
Text - Accepted Version
Download (4MB) | Preview


Add to AnyAdd to TwitterAdd to FacebookAdd to LinkedinAdd to PinterestAdd to Email


Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login