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 21 for “"short rate"”.
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Level-dependent volatility in jumping short-rate models
… timed randomly sized jumps to price interest rate contingent claims while accounting for level-dependent volatility. This dissertation will price such claims using an implicit finite difference scheme to implement a modelling framework that prices bonds, bond options and caplets with scheduled …
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Implementing short-rate models with jumps at deterministic times
… announcements have a direct impact on short-term interest rates during a financial year. However, this is not directly reflected in the continuous-time interest rate models. In this paper, we work with short-rate models which include the possibility of jumps at deterministic times. An …
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Bias-Free Joint Simulation of Multi-Factor Short Rate Models and Discount Factor
… the use of single- and multi-factor Gaussian short rate models for the valuation of interest rate sensitive European options. Specifically, the focus is on deriving the joint distribution of the short rate and the discount factor, so that an exact and unbiased simulation scheme can be derived …
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An application of short rate modelling involving roll-over risk to caplet pricing
… to borrow at the interbank overnight reference rate at some point in the future. Roll-over risk is comprised of two separate risks: the risk that the bank may deteriorate in credit quality relative to the 'average' bank sitting on the interbank panel and the risk that the bank may experience …
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An investigation of short rate models and the pricing of contigent claims in a South African setting
… investigates the dynamics of interest rates through the modelling of the short rate { the spot interest rate that applies for an in-infinitesimally short period of time. By modelling such a rate via a diffusion process, one is able to characterize the entire yield curve and price plain …
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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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Essays on New Keynesian Term Premium Model with Financial Risks
… a specific tenor and the average of the expected short rates up to that tenor. The dissertation is divided into three chapters. The first chapter proposes a New Keynesianism-based macro-finance model estimated by a one-step full information maximum likelihood (FIML) method. The second chapter …
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Calibrating Term Structure Models to an Initial Yield Curve
The modelling of the short rate offers many advantages, with the models explored in this dissertation all offering closed-form, analytic formulae for bond prices and for options on bonds. Often, a vital primary condition is for a model to be calibrated to the initial term structure and to recover …
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Credit risk modelling in Markovian HJM term structure class of models with stochastic volatility
… evidence strongly suggests that interest rate volatility is stochastic and correlated to changes in interest rates. In addition, the intensity process has been shown to generate heavy-tailed behavior and this has been attributed to stochastic volatility. A good credit risk model should …
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Kalman Filtering and the Estimation of Multi-factor Affine Term Structure Models
… found that the parameter sets lead to the same short rate process and thus the same model. Moreover, likelihood optimisation in the AFNS does not result in different parameter sets irrespective of the starting point.
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Pricing of contingent claims under the real-world measure
… 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 risk-neutral …
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Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate
… of Gaussian estimation of the South African short-term interest rate. It uses the same Gaussian estimation techniques employed by Nowman (1997) to estimate the South African short-term interest rate using South afrcan Treasury bill data. A range of single-factor continuous-time models of the …
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Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate
… of Gaussian estimation of the South African short-term interest rate. It uses the same Gaussian estimation techniques employed by Nowman (1997) to estimate the South African short-term interest rate using South afrcan Treasury bill data. A range of single-factor continuous-time models of the …
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Modelling stochastic multi-curve basis
… 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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Hedging performance of interest-rate models
… 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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Deep Calibration of Option Pricing Models
… investigates the calibration efficiency of short rate models using deep neural networks. The main focus is on the calibration of one-and-two factor Hull-White models to caplets and swaptions data, where the inputs are interest rate derivative prices or implied volatilities, and the outputs …
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Exposure modelling under change of measure
… Working with the Hull-White (HW) model of the short rate, the effect of a change of measure on the PFE and EE profiles of vanilla interest rate swaps and European swaptions is shown under three common measures: the money-market account measure, the T-forward measure and the Linear Gaussian …
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Approximating the Heston-Hull-White Model
… stochastic volatility and Hull and White (1990) short rate models. Compared to stochastic volatility models, hybrid models improve upon the pricing and hedging of longdated options and equity-interest rate hybrid claims. When the Heston and HullWhite components are uncorrelated, an exact …
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Recursive marginal quantization: extensions and applications in finance
… reflection at the zero boundary may be incorporated. Numerical evidence is provided of the improved weak-order convergence and computational efficiency for the geometric Brownian motion and constant elasticity of variance models by pricing European, Bermudan and barrier options. The current …
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Bayesian Applications in Financial Econometrics
… series. Chapter 1 extends popular discrete time short-rate models to include Markov switching of infinite dimension. This is a Bayesian nonparametric model that allows for changes in the unknown conditional distribution over time. Applied to weekly U.S. data we find significant parameter change …
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