{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/29396"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/29396","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Bias-Free Joint Simulation of Multi-Factor Short Rate Models and Discount Factor","abstract":"This dissertation explores 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 for risk-neutral valuation. We see that the derivation of the joint distribution remains tractable when working with the class of Gaussian short rate models. The dissertation compares three joint and exact simulation schemes for the short rate and the discount factor in the single-factor case; and two schemes in the multifactor case. We price European floor options and European swaptions using a twofactor Gaussian short rate model and explore the use of variance reduction techniques. We compare the exact and unbiased schemes to other solutions available in the literature: simulating the short rate under the forward measure and approximating the discount factor using quadrature.","abstract_html":"This dissertation explores 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 for risk-neutral valuation. We see that the derivation of the joint distribution remains tractable when working with the class of Gaussian short rate models. The dissertation compares three joint and exact simulation schemes for the short rate and the discount factor in the single-factor case; and two schemes in the multifactor case. We price European floor options and European swaptions using a twofactor Gaussian short rate model and explore the use of variance reduction techniques. We compare the exact and unbiased schemes to other solutions available in the literature: simulating the short rate under the forward measure and approximating the discount factor using quadrature.","abstract_has_math":false,"creators":["Lopes, Marcio Ferrao"],"institution":"African Institute of Financial Markets and Risk Management","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["McWalter,Tom","Kienitz, Jorg"],"committee_chairs":[],"committee_members":[],"year":2018,"date_issued":"2018","date_published":"2018","updated_at":"2026-07-22T22:23:29Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/29396","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["McWalter,Tom","Kienitz, Jorg"]},{"key":"dc:creator","label":"Author","values":["Lopes, Marcio Ferrao"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2019-02-06T13:23:21Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2019-02-06T13:23:21Z"]},{"key":"dc:date.issued","label":"Date","values":["2018"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["African Institute of Financial Markets and Risk Management"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MPhil"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/29396"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["This dissertation explores 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 for risk-neutral valuation. We see that the derivation of the joint distribution remains tractable when working with the class of Gaussian short rate models. The dissertation compares three joint and exact simulation schemes for the short rate and the discount factor in the single-factor case; and two schemes in the multifactor case. We price European floor options and European swaptions using a twofactor Gaussian short rate model and explore the use of variance reduction techniques. We compare the exact and unbiased schemes to other solutions available in the literature: simulating the short rate under the forward measure and approximating the discount factor using quadrature."]},{"key":"dc:title","label":"Title","values":["Bias-Free Joint Simulation of Multi-Factor Short Rate Models and Discount Factor"]}]}],"canonical_facts":{"dc:contributor.advisor":["McWalter,Tom","Kienitz, Jorg"],"dc:creator":["Lopes, Marcio Ferrao"],"dc:date.accessioned":["2019-02-06T13:23:21Z"],"dc:date.available":["2019-02-06T13:23:21Z"],"dc:date.issued":["2018"],"dc:description.abstract":["This dissertation explores 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 for risk-neutral valuation. We see that the derivation of the joint distribution remains tractable when working with the class of Gaussian short rate models. The dissertation compares three joint and exact simulation schemes for the short rate and the discount factor in the single-factor case; and two schemes in the multifactor case. We price European floor options and European swaptions using a twofactor Gaussian short rate model and explore the use of variance reduction techniques. We compare the exact and unbiased schemes to other solutions available in the literature: simulating the short rate under the forward measure and approximating the discount factor using quadrature."],"dc:identifier.uri":["http://hdl.handle.net/11427/29396"],"dc:language.iso":["eng"],"dc:publisher.department":["African Institute of Financial Markets and Risk Management"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Bias-Free Joint Simulation of Multi-Factor Short Rate Models and Discount Factor"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MPhil"]},"updated_at":"2026-07-22T22:23:29Z"}