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Paper   IPM / M / 8561
School of Mathematics
  Title:   Pricing forwards/futures and swaps using fuzzy sets
  Author(s):  E. Eslami (Joint with J. J. Buckley)
  Status:   Published
  Journal: Adv. in Fuzzy Sets and Systems
  Vol.:  2
  Year:  2007
  Pages:   143–163
  Supported by:  IPM
The pricing of the derivatives called forwards, futures and swaps may require the use of uncertain future interest rates. When these future interest rates contain uncertainty we will model this uncertainty using fuzzy numbers. Fuzzy interest rates then determine fuzzy price and valnes for these derivatives. We can then defuzzify fuzzy prices/values to obtain non-fuzzy prices/values for these derivatives.

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