Implementing the Hull and White (1994) interest rate model toprice multi-callable bonds within the German banking market

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Title

Implementing the Hull and White (1994) interest rate model toprice multi-callable bonds within the German banking market

Content partner

University of Otago

Collection

Otago University Research Archive

Description

This paper is a case study, documenting work completed for Institut fur betriebswirtschaftliche Beratung der Kreditwirtschaft GmbH1 (hence forth referred to as IFB) in Köln, Germany. The practicum involved the implementation of an interest rate model for the purpose of valuing the Multi-callable bond. The brief given was to develop a model that could be implemented into the software (Okular) to price the MCB in a fast and accurate way, so as to satisfy the regulatory body that oversees the su...

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Format

Research paper

Research format

Scholarly text / Thesis

Thesis level

Masters

Date created

2001

Creator

Smithies, Colin

URL

https://hdl.handle.net/10523/1360

Related subjects

Interest rate model / Multi-callable bond / Hull and White model / modified Vasicek / HF Commerce / HF5601 Accounting / HG Finance

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