“School of Mathematics”
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| Paper IPM / M / 8561 |
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| Abstract: | |
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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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