{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/12619"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/12619","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions","abstract":"This paper revisits pricing and hedging differences presented by Z. Guan, et. al., 2008 from a South African context. The Asset Liabilities Management (ALM) departments in large financial institutions are plagued by a number of problems. Among them is the choice of interest rate model for managing the risks associated with mortgage (home loan) repay-ments. This paper will address these problems by comparing various one-factor models, including Hull-White, Black-Karasinski and CIR models for the pricing and hedging of long-term Bermudan Swaptions which resembles mortgage loans in banks' books.","abstract_html":"This paper revisits pricing and hedging differences presented by Z. Guan, et. al., 2008 from a South African context. The Asset Liabilities Management (ALM) departments in large financial institutions are plagued by a number of problems. Among them is the choice of interest rate model for managing the risks associated with mortgage (home loan) repay-ments. 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Guan, et. al., 2008 from a South African context. The Asset Liabilities Management (ALM) departments in large financial institutions are plagued by a number of problems. Among them is the choice of interest rate model for managing the risks associated with mortgage (home loan) repay-ments. This paper will address these problems by comparing various one-factor models, including Hull-White, Black-Karasinski and CIR models for the pricing and hedging of long-term Bermudan Swaptions which resembles mortgage loans in banks' books."]},{"key":"dc:title","label":"Title","values":["Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions"]}]}],"canonical_facts":{"dc:contributor.advisor":["Becker, Ronald"],"dc:creator":["Holilal, Amiel"],"dc:date.accessioned":["2015-03-16T10:52:17Z"],"dc:date.available":["2015-03-16T10:52:17Z"],"dc:date.issued":["2011"],"dc:description":["Includes bibliographical references"],"dc:description.abstract":["This paper revisits pricing and hedging differences presented by Z. Guan, et. al., 2008 from a South African context. The Asset Liabilities Management (ALM) departments in large financial institutions are plagued by a number of problems. 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