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 43 for “"Libor"”.
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Approximations to the Lévy LIBOR Model
In this thesis, we study the LIBOR Market Model and the Lévy-LIBOR. We first look at the construction of LIBOR Market Model (LMM) and address the major problems associated with specifically the drift component of LMM. Due to the complexity of the drift for LMM, the Monte Carlo method seems to be …
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Pricing, Calibration and Hedging under the LIBOR model
… We present 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 …
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Incompatibility of lognormal forward-Libor and Swap market models
The lognormal forward-Libor and Swap market models were formulated to price caps and swaptions. However, the prices computed by these two models, under equivalent measures, are reported to be unequal. This study investigates this incompatibility by computing the prices of caps and swaptions under …
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Characteristic function pricing with the Heston-LIBOR hybrid model
… function for a simplified version of the Heston-LIBOR model, which assumes a constant instantaneous volatility structure in the underlying LIBOR market model. We also implement measures to improve the numerical stability of the characteristic function derived in this dissertation as well as the …
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The LIBOR market model in the South African setting
Includes abstract.
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An examination and implementation of the libor market model
… finance, mathematics and computer science. The Libor Market 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 …
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Interpolation of Forward Rates in the LIBOR Market Model
Since its development in 1997, the LIBOR market model has gained widespread use in interest rate modelling, largely owing to its consistency with the Black futures formula for pricing interest rate caps and floors. From its original construction(s), the LIBOR market model specifies a discrete set …
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Concurrence Between the Displaced Libor Market and Hull-White Models
… between the displaced lognormal forward-Libor model (DLFM), Gaussian Heath-Jarrow-Morton (GHJM) model and Hull-White (HW) model is explored. We briefly present the theory underpinning these models, specifically focusing on single factors. A useful volatility relation result adapted from …
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Application of Adjoint Differentiation (AD) for Calculating Libor Market Model Sensitivities
… the standard, intuitive ‘forward’ approach. The Libor market model (LMM) framework is selected for examples to demonstrate these computational savings, with varying degrees of complexity of the LMM explored, from a one-factor model with constant volatility to a full factor model with time …
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Efficient Monte Carlo simulations of pricing captions using Libor market models
… and a suitable interest rate model to use is the Libor market model. The approach of describing the behaviour of the entire zero coupon yield curve, in the era post the 2007 credit crunch crisis, is what is called a standard single-curve market practice, and Part l of this work is based on it. . …
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Neural network libor market model for pricing and hedging interest rate derivatives
In this dissertation, we will introduce a new formulation 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 …
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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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Time-inhomogeneous Lévy processes in interest rate and credit risk models
… prices (the <br>Lévy forward price model) and a Libor model (the Lévy Libor model) which <br>generalizes the Libor market model. In all of these models, explicit valuation <br>formulae are established for the most liquid interest rate derivatives, namely <br>caps, floors, and swaptions. The …
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A budapesti bankközi forint hitelkamatláb a londoni bankközi referencia-kamatláb árnyékában = Budapest interbank offered rate in the shadow of London interbank offered rate
… kitérek a kapcsolódó jogszabályi környezetre, a LIBOR-tól való fontos különbségekre is. Emellett elemzem a budapesti jegyzéseket és mind a piac, mind az egyes szereplők viselkedésére kitérek. Vizsgálatom során az alábbi kérdésekre keresem a válaszokat: - A LIBOR definíciójában ténylegesen …
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Break-even volatility for caps, floors and swaptions
… are currently calibrating the Lognormal Forward-LIBOR Market Model to market prices. They rarely directly trade in said derivatives, but merely delta hedge their risk daily. In this case, break-even volatility surfaces become more relevant than recovering market prices (which incorporate the …
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Polynomial Multi-Curve Models And Extensions In Mathematical Finance
… bonds and forward rate agreements written on the Libor/Euribor rates. This particularly, this includes describing the dynamics of spread rates in addition to interest rates, which to date had not been part of pre-crisis models. Following this, we introduce a multicurve model set-up in order to …
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Betriebswirtschaftliche Ansätze zur Reduktion negativer Auswirkungen von Anreizsystemen auf Consensus-Mechanismen im Interbankenmarkt unter Berücksichtigung der Bereiche Markt, Effizienz, Regulatorik und Strategie
… Consensus Service mechanism. A comparison to the LIBOR mechanism reveals some overlapping aspects and some differences. The thesis outlines new aspect to the agency problem, as discussed in the context of the LIBOR scandal, of the LIBOR scandal, using a business view on the participating banks. It …
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Preferred Habitat For Liquidity In International Short-term Interest Rates
… dressing. This is done by analyzing changes in LIBOR for different currencies around quarter-ends. A second part of the study considers the effect of preferred habitat on the term structure of short-term interest rates. The expectations hypothesis of the term structure posits that future …
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Empirical Studies in Financial Econometrics: Market Functioning, Forecasting, and Reform
… inputs. The second chapter, The Effects of LIBOR’s Manipulation and Discontinuation on Volatility and Liquidity in LIBOR Futures Markets, examines how four key events related to the manipulation and eventual phaseout of LIBOR affected liquidity and volatility in 3-month LIBOR futures in the …
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Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation
… are illustrated within the context of the Libor Market Model. Furthermore, these ideas are extended to the paradigm of Adjoint Algorithmic Differentiation, and it is illustrated how the use of sophisticated techniques within this space can further improve the ease of use and efficiency of …
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