{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/31423"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/31423","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model","abstract":"This dissertation examines the performance of two log-normal rational pricing kernel models and their calibration to the South African Inter-bank interest rate market. We investigate using Monte-Carlo simulation to price caps, floors and swaptions. Model-performance for both models was tested on single-strikes and entire volatility surfaces. Our results show that a one-factor model cannot reproduce the volatility smile present in the caps/floor market but can reproduce the at-the money swaption volatility surface. The two-factor model produces a better calibration to the volatility smile and captures most of the characteristics of the volatility surface.","abstract_html":"This dissertation examines the performance of two log-normal rational pricing kernel models and their calibration to the South African Inter-bank interest rate market. We investigate using Monte-Carlo simulation to price caps, floors and swaptions. Model-performance for both models was tested on single-strikes and entire volatility surfaces. Our results show that a one-factor model cannot reproduce the volatility smile present in the caps/floor market but can reproduce the at-the money swaption volatility surface. The two-factor model produces a better calibration to the volatility smile and captures most of the characteristics of the volatility surface.","abstract_has_math":false,"creators":["Hammond, Graeme"],"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":["Taylor, David","Mahomed, Obeid"],"committee_chairs":[],"committee_members":[],"year":2019,"date_issued":"2019","date_published":"2019","updated_at":"2026-07-22T22:23:30Z","subjects":["Mathematical Finance"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/31423","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Taylor, David","Mahomed, Obeid"]},{"key":"dc:creator","label":"Author","values":["Hammond, Graeme"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2020-03-02T08:55:37Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2020-03-02T08:55:37Z"]},{"key":"dc:date.issued","label":"Date","values":["2019"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["African Institute of Financial Markets and Risk Management"]},{"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":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Mathematical Finance"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/31423"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["This dissertation examines the performance of two log-normal rational pricing kernel models and their calibration to the South African Inter-bank interest rate market. We investigate using Monte-Carlo simulation to price caps, floors and swaptions. Model-performance for both models was tested on single-strikes and entire volatility surfaces. Our results show that a one-factor model cannot reproduce the volatility smile present in the caps/floor market but can reproduce the at-the money swaption volatility surface. The two-factor model produces a better calibration to the volatility smile and captures most of the characteristics of the volatility surface."]},{"key":"dc:title","label":"Title","values":["Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model"]}]}],"canonical_facts":{"dc:contributor.advisor":["Taylor, David","Mahomed, Obeid"],"dc:creator":["Hammond, Graeme"],"dc:date.accessioned":["2020-03-02T08:55:37Z"],"dc:date.available":["2020-03-02T08:55:37Z"],"dc:date.issued":["2019"],"dc:description.abstract":["This dissertation examines the performance of two log-normal rational pricing kernel models and their calibration to the South African Inter-bank interest rate market. We investigate using Monte-Carlo simulation to price caps, floors and swaptions. Model-performance for both models was tested on single-strikes and entire volatility surfaces. Our results show that a one-factor model cannot reproduce the volatility smile present in the caps/floor market but can reproduce the at-the money swaption volatility surface. The two-factor model produces a better calibration to the volatility smile and captures most of the characteristics of the volatility surface."],"dc:identifier.uri":["http://hdl.handle.net/11427/31423"],"dc:publisher.department":["African Institute of Financial Markets and Risk Management"],"dc:subject":["Mathematical Finance"],"dc:title":["Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MPhil"]},"updated_at":"2026-07-22T22:23:30Z"}