{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/29514"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/29514","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Pricing swaptions on amortising swaps","abstract":"In this dissertation, two efficient approaches for pricing European options on amortising swaps are explored. The first approach is to decompose the pricing of a European amortising swaption into a series of discount bond options, with an assumption that the interest rate follows a one-factor affine model. The second approach is using a one-dimensional numerical integral technique to approximate the price of European amortising swaption, with an assumption that the interest rate follows an additive two-factor affine model. The efficacy of the two methods was tested by making a comparison with the prices generated using Monte Carlo methods. Two methods were used to accelerate the convergence rate of the Monte Carlo model, a variance reduction method, namely the control variates technique and a method of using deterministic low-discrepancy sequences (also called quasi-Monte Carlo methods).","abstract_html":"In this dissertation, two efficient approaches for pricing European options on amortising swaps are explored. The first approach is to decompose the pricing of a European amortising swaption into a series of discount bond options, with an assumption that the interest rate follows a one-factor affine model. The second approach is using a one-dimensional numerical integral technique to approximate the price of European amortising swaption, with an assumption that the interest rate follows an additive two-factor affine model. The efficacy of the two methods was tested by making a comparison with the prices generated using Monte Carlo methods. Two methods were used to accelerate the convergence rate of the Monte Carlo model, a variance reduction method, namely the control variates technique and a method of using deterministic low-discrepancy sequences (also called quasi-Monte Carlo methods).","abstract_has_math":false,"creators":["Masutha, Ndinae Nico"],"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, Thomas"],"committee_chairs":[],"committee_members":[],"year":2018,"date_issued":"2018","date_published":"2018","updated_at":"2026-07-22T22:22:37Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/29514","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["McWalter, Thomas"]},{"key":"dc:creator","label":"Author","values":["Masutha, Ndinae Nico"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2019-02-14T12:34:04Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2019-02-14T12:34:04Z"]},{"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/11427/29514"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["In this dissertation, two efficient approaches for pricing European options on amortising swaps are explored. The first approach is to decompose the pricing of a European amortising swaption into a series of discount bond options, with an assumption that the interest rate follows a one-factor affine model. The second approach is using a one-dimensional numerical integral technique to approximate the price of European amortising swaption, with an assumption that the interest rate follows an additive two-factor affine model. The efficacy of the two methods was tested by making a comparison with the prices generated using Monte Carlo methods. Two methods were used to accelerate the convergence rate of the Monte Carlo model, a variance reduction method, namely the control variates technique and a method of using deterministic low-discrepancy sequences (also called quasi-Monte Carlo methods)."]},{"key":"dc:title","label":"Title","values":["Pricing swaptions on amortising swaps"]}]}],"canonical_facts":{"dc:contributor.advisor":["McWalter, Thomas"],"dc:creator":["Masutha, Ndinae Nico"],"dc:date.accessioned":["2019-02-14T12:34:04Z"],"dc:date.available":["2019-02-14T12:34:04Z"],"dc:date.issued":["2018"],"dc:description.abstract":["In this dissertation, two efficient approaches for pricing European options on amortising swaps are explored. The first approach is to decompose the pricing of a European amortising swaption into a series of discount bond options, with an assumption that the interest rate follows a one-factor affine model. The second approach is using a one-dimensional numerical integral technique to approximate the price of European amortising swaption, with an assumption that the interest rate follows an additive two-factor affine model. The efficacy of the two methods was tested by making a comparison with the prices generated using Monte Carlo methods. Two methods were used to accelerate the convergence rate of the Monte Carlo model, a variance reduction method, namely the control variates technique and a method of using deterministic low-discrepancy sequences (also called quasi-Monte Carlo methods)."],"dc:identifier.uri":["http://hdl.handle.net/11427/29514"],"dc:language.iso":["eng"],"dc:publisher.department":["African Institute of Financial Markets and Risk Management"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Pricing swaptions on amortising swaps"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MPhil"]},"updated_at":"2026-07-22T22:22:37Z"}