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Pricing swaptions on amortising swaps
In this dissertation, two efficient approaches for pricing European options on amortising swaps are explored. The first approach is to decompose the pricing of a European amortising swaption into a series of discount bond options, with an assumption that the interest rate follows a one-factor affine...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2019
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| _version_ | 1867613156244717568 |
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| access_status_str | Open Access |
| author | Masutha, Ndinae Nico |
| author2 | McWalter, Thomas |
| author_browse | Masutha, Ndinae Nico McWalter, Thomas |
| author_facet | McWalter, Thomas Masutha, Ndinae Nico |
| author_sort | Masutha, Ndinae Nico |
| collection | Thesis |
| description | In this dissertation, two efficient approaches for pricing European options on amortising swaps are explored. The first approach is to decompose the pricing of a European amortising swaption into a series of discount bond options, with an assumption that the interest rate follows a one-factor affine model. The second approach is using a one-dimensional numerical integral technique to approximate the price of European amortising swaption, with an assumption that the interest rate follows an additive two-factor affine model. The efficacy of the two methods was tested by making a comparison with the prices generated using Monte Carlo methods. Two methods were used to accelerate the convergence rate of the Monte Carlo model, a variance reduction method, namely the control variates technique and a method of using deterministic low-discrepancy sequences (also called quasi-Monte Carlo methods). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/29514 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:38.662Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| publisher | African Institute of Financial Markets and Risk Management |
| publisherStr | African Institute of Financial Markets and Risk Management |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/29514 Pricing swaptions on amortising swaps Masutha, Ndinae Nico McWalter, Thomas Mathematical Finance In this dissertation, two efficient approaches for pricing European options on amortising swaps are explored. The first approach is to decompose the pricing of a European amortising swaption into a series of discount bond options, with an assumption that the interest rate follows a one-factor affine model. The second approach is using a one-dimensional numerical integral technique to approximate the price of European amortising swaption, with an assumption that the interest rate follows an additive two-factor affine model. The efficacy of the two methods was tested by making a comparison with the prices generated using Monte Carlo methods. Two methods were used to accelerate the convergence rate of the Monte Carlo model, a variance reduction method, namely the control variates technique and a method of using deterministic low-discrepancy sequences (also called quasi-Monte Carlo methods). 2019-02-14T12:34:04Z 2019-02-14T12:34:04Z 2018 2019-02-14T12:33:20Z Master Thesis Masters MPhil http://hdl.handle.net/11427/29514 eng application/pdf African Institute of Financial Markets and Risk Management Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Masutha, Ndinae Nico Pricing swaptions on amortising swaps |
| thesis_degree_str | Master's |
| title | Pricing swaptions on amortising swaps |
| title_full | Pricing swaptions on amortising swaps |
| title_fullStr | Pricing swaptions on amortising swaps |
| title_full_unstemmed | Pricing swaptions on amortising swaps |
| title_short | Pricing swaptions on amortising swaps |
| title_sort | pricing swaptions on amortising swaps |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/29514 |
| work_keys_str_mv | AT masuthandinaenico pricingswaptionsonamortisingswaps |