{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/40257"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/40257","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Pricing, Calibration and Hedging under the LIBOR model","abstract":"This dissertation reviews work done by Dun et al. (2001). We present an algorithm for generating the LIBOR forward rates, which encompasses the functionality for pricing interest rate derivatives. We further generalise the algorithm to implement the predictor-corrector method. Calibration is carried out to price swaptions using the Black-76 and LIBOR methods, and the hedging strategies implied by both methods are considered. We aim to determine whether the theoretical and computational overhead associated with hedging swaptions using the LIBOR method improves the hedging accuracy over the more straightforward Black-76 method. The simulation is conducted within the LIBOR model framework. While inconsistent with the model assumptions, the Black method performed equally well as the LIBOR method as we obtained similar hedging profit and loss distributions even at high portfolio rebalancing frequencies.","abstract_html":"This dissertation reviews work done by Dun et al. (2001). We present an algorithm for generating the LIBOR forward rates, which encompasses the functionality for pricing interest rate derivatives. We further generalise the algorithm to implement the predictor-corrector method. Calibration is carried out to price swaptions using the Black-76 and LIBOR methods, and the hedging strategies implied by both methods are considered. We aim to determine whether the theoretical and computational overhead associated with hedging swaptions using the LIBOR method improves the hedging accuracy over the more straightforward Black-76 method. The simulation is conducted within the LIBOR model framework. While inconsistent with the model assumptions, the Black method performed equally well as the LIBOR method as we obtained similar hedging profit and loss distributions even at high portfolio rebalancing frequencies.","abstract_has_math":false,"creators":["Menziwa, Singalakha"],"institution":"Department of Finance and Tax","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Ouwehand, Peter"],"committee_chairs":[],"committee_members":[],"year":2024,"date_issued":"2024","date_published":"2024","updated_at":"2026-07-22T22:22:55Z","subjects":["Finance and Tax"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/40257","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Ouwehand, Peter"]},{"key":"dc:creator","label":"Author","values":["Menziwa, Singalakha"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2024-07-04T13:33:31Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2024-07-04T13:33:31Z"]},{"key":"dc:date.issued","label":"Date","values":["2024"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Finance and Tax"]},{"key":"dc:type","label":"Dc Type","values":["Thesis / Dissertation"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters","MPhil"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Finance and Tax"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/40257"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["This dissertation reviews work done by Dun et al. (2001). We present an algorithm for generating the LIBOR forward rates, which encompasses the functionality for pricing interest rate derivatives. We further generalise the algorithm to implement the predictor-corrector method. Calibration is carried out to price swaptions using the Black-76 and LIBOR methods, and the hedging strategies implied by both methods are considered. We aim to determine whether the theoretical and computational overhead associated with hedging swaptions using the LIBOR method improves the hedging accuracy over the more straightforward Black-76 method. The simulation is conducted within the LIBOR model framework. While inconsistent with the model assumptions, the Black method performed equally well as the LIBOR method as we obtained similar hedging profit and loss distributions even at high portfolio rebalancing frequencies."]},{"key":"dc:title","label":"Title","values":["Pricing, Calibration and Hedging under the LIBOR model"]}]}],"canonical_facts":{"dc:contributor.advisor":["Ouwehand, Peter"],"dc:creator":["Menziwa, Singalakha"],"dc:date.accessioned":["2024-07-04T13:33:31Z"],"dc:date.available":["2024-07-04T13:33:31Z"],"dc:date.issued":["2024"],"dc:description.abstract":["This dissertation reviews work done by Dun et al. (2001). We present an algorithm for generating the LIBOR forward rates, which encompasses the functionality for pricing interest rate derivatives. We further generalise the algorithm to implement the predictor-corrector method. Calibration is carried out to price swaptions using the Black-76 and LIBOR methods, and the hedging strategies implied by both methods are considered. We aim to determine whether the theoretical and computational overhead associated with hedging swaptions using the LIBOR method improves the hedging accuracy over the more straightforward Black-76 method. The simulation is conducted within the LIBOR model framework. While inconsistent with the model assumptions, the Black method performed equally well as the LIBOR method as we obtained similar hedging profit and loss distributions even at high portfolio rebalancing frequencies."],"dc:identifier.uri":["http://hdl.handle.net/11427/40257"],"dc:publisher.department":["Department of Finance and Tax"],"dc:subject":["Finance and Tax"],"dc:title":["Pricing, Calibration and Hedging under the LIBOR model"],"dc:type":["Thesis / Dissertation"],"dc:type.qualificationlevel":["Masters","MPhil"]},"updated_at":"2026-07-22T22:22:55Z"}