Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions
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| dc.contributor.advisor | Becker, Ronald | en_ZA |
| dc.contributor.author |
Holilal, Amiel
|
en_ZA |
| dc.date.accessioned | 2015-03-16T10:52:17Z | |
| dc.date.available | 2015-03-16T10:52:17Z | |
| dc.date.issued | 2011 | en_ZA |
| dc.identifier.citation | Holilal, A. 2011. Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions. University of Cape Town. | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/12619 | |
| dc.description | Includes bibliographical references | en_ZA |
| 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. 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. | en_ZA |
| dc.language.iso | eng | en_ZA |
| dc.subject.other | Economics | en_ZA |
| dc.title | Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions | en_ZA |
| dc.type | Master Thesis | |
| uct.type.publication | Research | en_ZA |
| uct.type.resource | Thesis | en_ZA |
| dc.publisher.institution | University of Cape Town | |
| dc.publisher.faculty | Faculty of Commerce | en_ZA |
| dc.publisher.department | School of Economics | en_ZA |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationname | MCom | en_ZA |
| uct.type.filetype | Text | |
| uct.type.filetype | Image | |
| dc.identifier.apacitation | Holilal, A. (2011). <i>Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/12619 | en_ZA |
| dc.identifier.chicagocitation | Holilal, Amiel. <i>"Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2011. http://hdl.handle.net/11427/12619 | en_ZA |
| dc.identifier.vancouvercitation | Holilal A. Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/12619 | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Holilal, Amiel AB - 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. DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions TI - Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions UR - http://hdl.handle.net/11427/12619 ER - | en_ZA |
