Global ETD Search
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Showing 1 to 20 of 22 for “"Interest Rate Derivatives"”.
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Neural network libor market model for pricing and hedging interest rate derivatives
… of variational auto-encoders in order to generate the data we require. Our variational auto-encoder is based on data generation principles from elementary probability i.e. finding the inverse cumulative distribution function and using uniform inputs to generate samples from the distribution. …
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Accounting for roll-over risk in the pricing of caps and floors
… to rethink the single curve approach to pricing interest-rate derivatives. This was as a result of a violation in spot-forward parity relationships thereby prompting markets to realise the presence of a new type of risk and subsequently the need for a multi-curve pricing framework. The roll-over …
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Hedging performance of interest-rate models
… back-study which assesses the effectiveness of interest- rate modelling and the hedging of interest-rate derivatives. Caps that trade in the Johannesburg swap market are hedged using two short-rate models, namely the Hull and White (1990) one-factor model and the subsequent Hull and White (1994) …
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Linear-Rational Term Structure Models With Flexible Level-Dependent Volatility
… Linear-Rational Framework for the modelling of interest rates is a framework which allows for the addition of spanned and unspanned factors, while maintaining a lower bound on rates and tractable valuation of interest rate derivatives, particularly swaptions. The advantages of having all these …
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Historically implied swaption skews using non-parametric methods
… valuation (1996) is adapted for use with interest rate derivatives of a long-term nature. However, under a simulation of swaption prices, canonical valuation is found to have a monotonic increase in pricing error for swaptions of maturities over 2 to 15 years. A new method is constructed, …
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Pricing, Calibration and Hedging under the LIBOR model
… an algorithm for generating the LIBOR forward rates, which encompasses the functionality for pricing interest rate derivatives. We further generalise the algorithm to implement the predictor-corrector method. Calibration is carried out to price swaptions using the Black-76 and LIBOR methods, …
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An examination and implementation of the libor market model
… Model, a model for pricing and risk-managing interest rate derivatives, is a prime example of this cherry-picking, requiring an understanding of the interest rate markets to understand the problem to be modelled, requiring some deep mathematics from probability theory and stochastic calculus …
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Application of Lie symmetries to Solving Partial Differential Equations associated with the Mathematics of Finance
… put options, together with all other financial derivatives. Due to their work a rich arsenal of methods of theory of partial differential equations were suddenly available for mathematicians working in the area of mathematical finance. Adopting their approach of deducing prices of contingent …
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Multi-curve bootstrapping and implied discounting curves in illiquid markets
… has triggered a number of inconsistencies in the interest rate market, questioning some of the standard methods and assumptions used to price and hedge interest rate derivatives. It has been shown that using a single risk-free curve (constructed from market instruments referencing underlying rates …
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The impact of derivative use on firm risk and firm value. Evidence from South African non-financial firms
This dissertation investigates the extent of derivatives use in South Africa. In addition, it examines the effect of derivatives use on firm risk and value. The dissertation is based on a sample of 91 South African non-financial firms listed on the FTSE/JSE Africa All Share Index on the JSE over …
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Time-inhomogeneous Lévy processes in interest rate and credit risk models
In this thesis, we present interest rate models and a credit risk model, all driven <br>by time-inhomogeneous Lévy processes, i.e. stochastic processes whose increments <br>are independent but in general not stationary. <br> <br>In the interest rate part, we discuss a Heath-Jarrow-Morton forward …
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Modelling stochastic multi-curve basis
… multi-curve approach in modelling the prevailing interest rate environment. Currently, there is a reliance on the assumption of deterministic- or constant-basis spreads. This assumption is too simplistic to describe the modern multi-curve environment and serves as the motivation for this work. A …
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Calibrating the LIBOR market model to swaptions with an extension for illiquidity in South Africa
The popularity of the LIBOR Market Model (LMM) in interest rate modelling is a result of its consistency with market practice of pricing interest rate derivatives. In the context of a life insurance company, the LMM is calibrated to swaptions as they are actively traded for a wide variety of …
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Break-even volatility for caps, floors and swaptions
… volatility in the context of the South African interest rate market. Introduced by Dupire (2006), break-even volatility is a retrospective measure defined as the volatility that ensures the profit or loss from a delta hedged option position is zero. Break-even volatility sheds light on the inner …
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Incompatibility of lognormal forward-Libor and Swap market models
… the same implied volatility, were simulated accurately in both the Libor and Swap market models under both the forward Libor measure and the forward Swap measure. On the other hand, although the actual swaption prices were also simulated accurately in both the Libor and Swap market models under …
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Trolle-Schwartz HJM interest rate model
The Trolle and Schwartz (2009) interest rate model prices interest rate derivatives in a generalised stochastic volatility framework. It is a reformulation of the multifactor Heath, Jarrow and Morton (1992) framework with stochastic volatility terms presented in an analogous fashion to the seminal …
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Efficient Monte Carlo simulations of pricing captions using Libor market models
… exotic options discussed in literature. This (interest rates) exotic option has no closed form solution and its accurate pricing and hedging in a volatile market is a challenge for traders. The reason for this is that, comparatively, the behaviour on an individual interest rate is more complex …
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Pricing of contingent claims under the real-world measure
… on the GOP: options on exchange prices; and interest rate caps and floors via options on zero-coupon bonds. We start with the classic Black-Scholes-Merton model, where the GOP follows a geometric Brownian motion. Under this model, real-world pricing recovers the results of classical …
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Market Valuation of Convertible Securities of U.S. Airlines
… contract parameters.</p> <p>Pricing of interest rate derivatives and instruments with embedded options, such as callable convertible bonds and preferred stocks, is typically performed utilizing models of the term structure of interest rates. Ramanlal, Mann, and Moore (1998) test several …
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