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Interest Rate Models and Pricing Interest-Bearing Financial Instruments in the Heath-Jarrow-Morton Model

Student: Kolupaev Aleksandr

Supervisor: Alexey S. Shvedov

Faculty: Faculty of Economic Sciences

Educational Programme: Bachelor

Year of Graduation: 2014

<p>This paper discusses approaches to modelling the term structure of interest rates. Information about the term structure of interest rates can be used to protect against the risk of changes in interest rates, to find and obtain a risk-free arbitrage profits. We compare the hedging strategy of bond portfolios in the various models of the interest rate. Also the paper shows the calculation of the prices of various interest rate options.</p>

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