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**1 - 1**of**1**### Analysis of the Discount Factors in Swap Valuation Analysis of the Discount Factors in Swap Valuation

"... Abstract Discount factors are used to discount the cash flows in swap valuation. In my thesis, we study in the two swap valuation methods, the different performances of the discount factors. We lay the foundation for the swap valuation in the first four chapters. We introduce the concepts of the sw ..."

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Abstract Discount factors are used to discount the cash flows in swap valuation. In my thesis, we study in the two swap valuation methods, the different performances of the discount factors. We lay the foundation for the swap valuation in the first four chapters. We introduce the concepts of the swaps and swaptions, PDEs in finance, how to model the dynamics of the interest rate and some typical interest rate models and then give the mathematical forms of swaps. In the last chapter, we present the general procedure of the swap valuation and introduce the discount factor curves. Then we further study the performances of the discount factor curves in the two different swap valuation methods. 3