Interpolation of Forward Rates in the LIBOR Market Model

Simple item page
dc.contributor.advisorMcWalter, Thomas
dc.contributor.authorMbele, Buhlebezwe Bandile Sthombe
dc.date.accessioned2021-02-12T12:00:14Z
dc.date.available2021-02-12T12:00:14Z
dc.date.issued2020
dc.date.updated2021-02-12T05:36:00Z
dc.description.abstractSince its development in 1997, the LIBOR market model has gained widespread use in interest rate modelling, largely owing to its consistency with the Black futures formula for pricing interest rate caps and floors. From its original construction(s), the LIBOR market model specifies a discrete set of forward rates that correspond to a fixed tenor structure, e.g. market tenors. This implies the pricing of interest rate contingent claims is restricted to claims with cashflow dates that coincide with the fixed tenor structure. In this light, several interpolation schemes have been suggested to handle the pricing restrictions, however at the cost of introducing possible arbitrage opportunities. The present dissertation studies four such interpolation schemes, paying particular attention to arbitrage-free interpolation schemes: Piterbarg deterministic interpolation, Schlogl deterministic interpolation, Schlogl stochastic interpolation, and Beveridge-Joshi stochastic interpolation.
dc.identifier.apacitationMbele, B. B. S. (2020). <i>Interpolation of Forward Rates in the LIBOR Market Model</i>. (). ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. Retrieved from http://hdl.handle.net/11427/32836en_ZA
dc.identifier.chicagocitationMbele, Buhlebezwe Bandile Sthombe. <i>"Interpolation of Forward Rates in the LIBOR Market Model."</i> ., ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2020. http://hdl.handle.net/11427/32836en_ZA
dc.identifier.citationMbele, B.B.S. 2020. Interpolation of Forward Rates in the LIBOR Market Model. . ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. http://hdl.handle.net/11427/32836en_ZA
dc.identifier.ris TY - Master Thesis AU - Mbele, Buhlebezwe Bandile Sthombe AB - Since its development in 1997, the LIBOR market model has gained widespread use in interest rate modelling, largely owing to its consistency with the Black futures formula for pricing interest rate caps and floors. From its original construction(s), the LIBOR market model specifies a discrete set of forward rates that correspond to a fixed tenor structure, e.g. market tenors. This implies the pricing of interest rate contingent claims is restricted to claims with cashflow dates that coincide with the fixed tenor structure. In this light, several interpolation schemes have been suggested to handle the pricing restrictions, however at the cost of introducing possible arbitrage opportunities. The present dissertation studies four such interpolation schemes, paying particular attention to arbitrage-free interpolation schemes: Piterbarg deterministic interpolation, Schlogl deterministic interpolation, Schlogl stochastic interpolation, and Beveridge-Joshi stochastic interpolation. DA - 2020_ DB - OpenUCT DP - University of Cape Town KW - Mathematical Finance LK - https://open.uct.ac.za PY - 2020 T1 - Interpolation of Forward Rates in the LIBOR Market Model TI - Interpolation of Forward Rates in the LIBOR Market Model UR - http://hdl.handle.net/11427/32836 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/32836
dc.identifier.vancouvercitationMbele BBS. Interpolation of Forward Rates in the LIBOR Market Model. []. ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2020 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/32836en_ZA
dc.language.rfc3066eng
dc.publisher.departmentAfrican Institute of Financial Markets and Risk Management
dc.publisher.facultyFaculty of Commerce
dc.subjectMathematical Finance
dc.titleInterpolation of Forward Rates in the LIBOR Market Model
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationlevelMPhil
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_2020_mbele buhlebezwe bandile sthombe.pdf
Size:
1.32 MB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
0 B
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Masters