Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model
| dc.contributor.advisor | Taylor, David | |
| dc.contributor.advisor | Mahomed, Obeid | |
| dc.contributor.author | Hammond, Graeme | |
| dc.date.accessioned | 2020-03-02T08:55:37Z | |
| dc.date.available | 2020-03-02T08:55:37Z | |
| dc.date.issued | 2019 | |
| dc.date.updated | 2020-03-02T08:35:42Z | |
| dc.description.abstract | This dissertation examines the performance of two log-normal rational pricing kernel models and their calibration to the South African Inter-bank interest rate market. We investigate using Monte-Carlo simulation to price caps, floors and swaptions. Model-performance for both models was tested on single-strikes and entire volatility surfaces. Our results show that a one-factor model cannot reproduce the volatility smile present in the caps/floor market but can reproduce the at-the money swaption volatility surface. The two-factor model produces a better calibration to the volatility smile and captures most of the characteristics of the volatility surface. | |
| dc.identifier.apacitation | Hammond, G. (2019). <i>Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model</i>. (). ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. Retrieved from http://hdl.handle.net/11427/31423 | en_ZA |
| dc.identifier.chicagocitation | Hammond, Graeme. <i>"Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model."</i> ., ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019. http://hdl.handle.net/11427/31423 | en_ZA |
| dc.identifier.citation | Hammond, G. 2019. Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model. . ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. http://hdl.handle.net/11427/31423 | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Hammond, Graeme AB - This dissertation examines the performance of two log-normal rational pricing kernel models and their calibration to the South African Inter-bank interest rate market. We investigate using Monte-Carlo simulation to price caps, floors and swaptions. Model-performance for both models was tested on single-strikes and entire volatility surfaces. Our results show that a one-factor model cannot reproduce the volatility smile present in the caps/floor market but can reproduce the at-the money swaption volatility surface. The two-factor model produces a better calibration to the volatility smile and captures most of the characteristics of the volatility surface. DA - 2019 DB - OpenUCT DP - University of Cape Town KW - Mathematical Finance LK - https://open.uct.ac.za PY - 2019 T1 - Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model TI - Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model UR - http://hdl.handle.net/11427/31423 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/31423 | |
| dc.identifier.vancouvercitation | Hammond G. Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model. []. ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/31423 | en_ZA |
| dc.language.rfc3066 | eng | |
| dc.publisher.department | African Institute of Financial Markets and Risk Management | |
| dc.publisher.faculty | Faculty of Commerce | |
| dc.subject | Mathematical Finance | |
| dc.title | Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model | |
| dc.type | Master Thesis | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationname | MPhil |