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Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions
Includes bibliographical references
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2015
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| _version_ | 1867613167564095488 |
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| access_status_str | Open Access |
| author | Holilal, Amiel |
| author2 | Becker, Ronald |
| author_browse | Becker, Ronald Holilal, Amiel |
| author_facet | Becker, Ronald Holilal, Amiel |
| author_sort | Holilal, Amiel |
| collection | Thesis |
| description | Includes bibliographical references |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/12619 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:50.330Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/12619 Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions Holilal, Amiel Becker, Ronald Economics Includes bibliographical references 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. 2015-03-16T10:52:17Z 2015-03-16T10:52:17Z 2011 Master Thesis Masters MCom http://hdl.handle.net/11427/12619 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Economics Holilal, Amiel Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions |
| thesis_degree_str | Master's |
| title | Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions |
| title_full | Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions |
| title_fullStr | Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions |
| title_full_unstemmed | Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions |
| title_short | Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions |
| title_sort | choice of one factor interest rate term structure models for pricing and hedging bermudan swaptions |
| topic | Economics |
| url | http://hdl.handle.net/11427/12619 |
| work_keys_str_mv | AT holilalamiel choiceofonefactorinterestratetermstructuremodelsforpricingandhedgingbermudanswaptions |