Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions

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dc.contributor.advisorBecker, Ronalden_ZA
dc.contributor.authorHolilal, Amielen_ZA
dc.date.accessioned2015-03-16T10:52:17Z
dc.date.available2015-03-16T10:52:17Z
dc.date.issued2011en_ZA
dc.descriptionIncludes bibliographical referencesen_ZA
dc.description.abstractThis 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.identifier.apacitationHolilal, 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/11427/12619en_ZA
dc.identifier.chicagocitationHolilal, 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/11427/12619en_ZA
dc.identifier.citationHolilal, 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.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
dc.identifier.urihttp://hdl.handle.net/11427/12619
dc.identifier.vancouvercitationHolilal 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/11427/12619en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherEconomicsen_ZA
dc.titleChoice of one factor interest rate term structure models for pricing and hedging Bermudan swaptionsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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