Corcuera Valverde, José ManuelGálvez Perea, Jorge2023-05-302023-05-302023-01-24https://hdl.handle.net/2445/198664Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2023, Director: José Manuel Corcuera Valverde[en] The objective of this work is to build a rigorous path to understand and model financial derivatives of the interes rate such as swaptions. We start by defining the interest rate and where does it come from. Understanding zero-bonds and coupon bonds and using them to define the yield curve. We are then going to see how forwards and swaps work and we will valuate these at today and at the future. Along some basic concepts about options and a little introduction on stochastic calculus we are able to introduce options valuation models, Black-Scholes model and Black model. Finally we define swaptions and apply Black’s model to price them.48 p.application/pdfspacc-by-nc-nd (c) José Manuel Corcuera, 2023http://creativecommons.org/licenses/by-nc-nd/3.0/es/Processos estocàsticsTreballs de fi de grauMatemàtica financeraTipus d'interèsSwapsStochastic processesBachelor's thesesBusiness mathematicsInterest ratesSwaps (Finance)info:eu-repo/semantics/bachelorThesisinfo:eu-repo/semantics/openAccess