Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread
Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. This process can be achieved in a number of ways, by utilising either tw