Pricing, Calibration and Hedging under the LIBOR model

Simple item page
dc.contributor.advisorOuwehand, Peter
dc.contributor.authorMenziwa, Singalakha
dc.date.accessioned2024-07-04T13:33:31Z
dc.date.available2024-07-04T13:33:31Z
dc.date.issued2024
dc.date.updated2024-07-04T13:29:37Z
dc.description.abstractThis 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.apacitationMenziwa, S. (2024). <i>Pricing, Calibration and Hedging under the LIBOR model</i>. (). ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/40257en_ZA
dc.identifier.chicagocitationMenziwa, Singalakha. <i>"Pricing, Calibration and Hedging under the LIBOR model."</i> ., ,Faculty of Commerce ,Department of Finance and Tax, 2024. http://hdl.handle.net/11427/40257en_ZA
dc.identifier.citationMenziwa, S. 2024. Pricing, Calibration and Hedging under the LIBOR model. . ,Faculty of Commerce ,Department of Finance and Tax. http://hdl.handle.net/11427/40257en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Menziwa, Singalakha AB - 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. DA - 2024 DB - OpenUCT DP - University of Cape Town KW - Finance and Tax LK - https://open.uct.ac.za PY - 2024 T1 - Pricing, Calibration and Hedging under the LIBOR model TI - Pricing, Calibration and Hedging under the LIBOR model UR - http://hdl.handle.net/11427/40257 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/40257
dc.identifier.vancouvercitationMenziwa S. Pricing, Calibration and Hedging under the LIBOR model. []. ,Faculty of Commerce ,Department of Finance and Tax, 2024 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/40257en_ZA
dc.language.rfc3066Eng
dc.publisher.departmentDepartment of Finance and Tax
dc.publisher.facultyFaculty of Commerce
dc.subjectFinance and Tax
dc.titlePricing, Calibration and Hedging under the LIBOR model
dc.typeThesis / Dissertation
dc.type.qualificationlevelMasters
dc.type.qualificationlevelMPhil
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_2024_menziwa singalakha.pdf
Size:
1.19 MB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.72 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Masters