First of all good luck with your studies and with your thesis.The family of CMS products is definitively a good topic to explore. I'd subdivide the instruments in two classes: the first one including those that can be priced by replication (CMS swaps, caps&floors) and those that cannot (e.g CMS spread options, range accruals, callable products).For the first class the article by Hagan and the book by Hunt suggested by Gjk77 are a very good starting point. In general many things are known about these so it's a good start for a thesis because it allows to cover market practices and even if you won't add anything new in terms of research, there is value proving that you understood the concepts behind the pricing.Then you can give a bash to pricing those other CMS products that you cannot price by replication and whatever you are going to write, provided that your arguments are sound, nobody can tell you you are wrong. Looking at market prices (at least for CMS spread options) there is a difference in quotes coming from different banks, which means that the prices are still widely market dependent, so there isn't a correct (or well established way) to price them yet.In terms of books I don't think there is much stuff at all, but there is a large collections of articles. I'd would add to Hagan's:Fabio Mercurioand the three files attached.You may find interesting Nevena Selic's thesys too...
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Last edited by gc
on December 11th, 2007, 11:00 pm, edited 1 time in total.