Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 520 for “"Interest rate."”.
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Pricing interest rate contingent claims
This thesis extends the previous work on interest rate contingent claims in several ways. First, futures pricing models and futures options pricing models are derived. These models are under the settings of both single state variable and two state variables. The derivations make use of regular …
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Financial intermediation and interest rate risk
This thesis analyses the link between interest rate risk faced by financial intermediaries in the G-10 countries, their balance sheet composition and national bank regulation. The regulatory authorities both in the US and in Europe increasingly emphasise the issue of bank interest rate exposure. …
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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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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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Retail deposit pricing and interest rate risk
… work done on the pricing of such deposits or the interest rate risk posed by such deposit balances. In this thesis we address the pricing of retail deposits in a dynamic, general equilibrium framework in order to draw conclusion regarding the important time series relationship between deposit and …
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Testing Uncovered Interest Rate Parity in Asian Countries
… carries out empirical testing of Uncovered Interest Rate Parity (UIP) for 9 Asian countries using daily data from the period 2009–2022. The extent to which UIP holds is of interest from a number of perspectives since it is widely used in many international monetary analyses. It is relevant …
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Interest Rate Ceilings and Agriculture Financing in Kenya
… In August 2016, the Kenyan government introduced interest rate ceilings in a bid to reduce the cost of borrowing, thereby releasing more capital to all enterprises, including those in the agricultural sector. This study sought to examine the effect of these interest rate ceilings on the growth in …
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Hedging Interest-Rate Options Using Principal Components Analysis
… a goal of the risk management of a portfolio of interest rate sensitive instruments to minimize the impact of movements in market rates on the value of the portfolio. This can be done by considering the sensitivity of the portfolio to each of the market rates that are used to bootstrap a yield …
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Stochastic programming models for interest-rate risk management
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 1994.
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An introduction to interest rate jumps at deterministic times
The observation of jumps in empirical interest-rate data has prompted the inclusion of these jumps in recent term-structure models. This dissertation focusses on explaining the effects of jumps that occur at known times on the pricing of bonds. Filipovic (2009) affirms that the transition from the …
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Financial sector reforms and interest rate determination in Zambia
… investigation of the determinants of lending rates in Zambia in the aftermath of financial sector reforms. Cointegration techniques in a multivariate framework are employed to investigate the issue. Empirical findings indicate the presence of long-run cointegrating relationships between the …
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Capitalization rate, mortgage interest rate and commercial mortgage demand
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 2001.
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The determinants of banking sector interest rate spreads in Zambia
… examining the spread between lending and deposit rates and by assessing the degree of operational efficiency of the banking industry. Although Zambia has made some progress since the deregulation of its banking system, interest rate spreads remain absolutely high. When the spread between lending …
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The determinants of banking sector interest rate spreads in Zambia
… examining the spread between lending and deposit rates and by assessing the degree of operational efficiency of the banking industry. Although Zambia has made some progress since the deregulation of its banking system, interest rate spreads remain absolutely high. When the spread between lending …
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New Evidence on Interest Rate and Foreign Exchange Rate Modeling
… three interrelated issues of market anomalies in interest rates derivatives and foreign exchange rates. The first essay models the spot exchange rate as a decomposition of permanent and transitory components. Unlike extant analysis, the transitory component could be stationary or explosive. The …
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Interest-Rate Option Pricing Accounting For Jumps At Deterministic Times
The short rate is central in the context of interest-rate markets as well as broader finance. As such, accurate modelling of this rate is of particular importance in the pricing of interest-rate options, especially during times of high volatility where increased demand is seen for simpler and lower …
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