Pricing swaptions on amortising swaps
| dc.contributor.advisor | McWalter, Thomas | |
| dc.contributor.author | Masutha, Ndinae Nico | |
| dc.date.accessioned | 2019-02-14T12:34:04Z | |
| dc.date.available | 2019-02-14T12:34:04Z | |
| dc.date.issued | 2018 | |
| dc.date.updated | 2019-02-14T12:33:20Z | |
| 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.apacitation | Masutha, N. N. (2018). <i>Pricing swaptions on amortising swaps</i>. (). University of Cape Town ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. Retrieved from http://hdl.handle.net/11427/29514 | en_ZA |
| dc.identifier.chicagocitation | Masutha, Ndinae Nico. <i>"Pricing swaptions on amortising swaps."</i> ., University of Cape Town ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2018. http://hdl.handle.net/11427/29514 | en_ZA |
| dc.identifier.citation | Masutha, N. 2018. Pricing swaptions on amortising swaps. University of Cape Town. | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Masutha, Ndinae Nico AB - 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). DA - 2018 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2018 T1 - Pricing swaptions on amortising swaps TI - Pricing swaptions on amortising swaps UR - http://hdl.handle.net/11427/29514 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/29514 | |
| dc.identifier.vancouvercitation | Masutha NN. Pricing swaptions on amortising swaps. []. University of Cape Town ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2018 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/29514 | en_ZA |
| dc.language.iso | eng | |
| dc.publisher.department | African Institute of Financial Markets and Risk Management | |
| dc.publisher.faculty | Faculty of Commerce | |
| dc.publisher.institution | University of Cape Town | |
| dc.subject.other | Mathematical Finance | |
| dc.title | Pricing swaptions on amortising swaps | |
| dc.type | Master Thesis | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationname | MPhil |