Valoración de derivados de la tasa swap utilizando el modelo gaussiano de dos factores (G2++)
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Se logra una valoración de un derivado financiero de la tasa Swap, el Constant Maturity Swap (CMS), valorado en un modelo afín de dos factores el G2++, por dos caminos distintos consiguiéndose resultados muy cercanos. El primero, modelando directamente el valor esperado con Monte Carlo y el segundo utilizando técnicas del Ajuste por Convexidad. Se mejoran algunas fórmulas y se adaptan a un Modelo Multifactorial.
Abstract. An evaluation is achieved of a financial derivate of the Swap rate, the Constant Maturity Swap (CMS), valued in a two-factor affine model, G2++, by two different paths, obtaining very close results. The first, directly modeling the expected value with Monte Carlo and the second using Convexity Adjustment techniques. Some formulas are improved and adapted to a Multifactorial Model.
Abstract. An evaluation is achieved of a financial derivate of the Swap rate, the Constant Maturity Swap (CMS), valued in a two-factor affine model, G2++, by two different paths, obtaining very close results. The first, directly modeling the expected value with Monte Carlo and the second using Convexity Adjustment techniques. Some formulas are improved and adapted to a Multifactorial Model.