Structured bonds valuation
Por Pinedo, Omar
December 2015
Idioma: Spanish
Keywords
- derivatives valuation
- P-Splines
- Quasi Monte Carlo
- structured bonds
- term structure of interest rates
- yield curve estimation
Resumen:
A method to price structured bonds is proposed. It includes two key elements: (1) construction of zero coupon curves to discount cash flows and (2) simulation of cash flows for the underlying option. For (1) the study uses the penalized B-Spline method and for (2) it uses a Quasi-Monte Carlo based on a generalized Halton sequence.