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Dissertations / Theses on the topic 'And SBI Interest Rate'

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Published: 5 June 2025

Last updated: 1 August 2025

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1

Chimanga, Taurai. "Interest Rate Derivatives : An analysis of interest rate hybrid products." Thesis, Stockholms universitet, Matematiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-56450.

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The globilisation phenomena is causing an increasing interaction between different markets and sectors. This has led to the evolution of derivative instruments from ”single asset” instruments to complex derivatives that have underlying assets from different markets, sectors and sub-sectors. These are the so-called hybrid products that have multi-assets as underlying instruments. This article focuses on interest rate hybrid products. In this article an analysis of the application of stochastic interest rate models and stochastic volatility models in pricing and hedging interest rate hybrid prod

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2

Kladívko, Kamil. "Interest Rate Modeling." Doctoral thesis, Vysoká škola ekonomická v Praze, 2005. http://www.nusl.cz/ntk/nusl-96400.

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I study, develop and implement selected interest rate models. I begin with a simple categorization of interest rate models and with an explanation why interest rate models are useful. I explain and discuss the notion of arbitrage. I use Oldrich Vasicek's seminal model (Vasicek; 1977) to develop the idea of no-arbitrage term structure modeling. I introduce both the partial di erential equation and the risk-neutral approach to zero-coupon bond pricing. I briefly comment on affine term structure models, a general equilibrium term structure model, and HJM framework. I present the Czech Treasury yi

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3

Jangenstål, Lovisa. "Hedging Interest Rate Swaps." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-169390.

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This thesis investigates hedging strategies for a book of interest rate swaps of the currencies EUR and SEK. The aim is to minimize the variance of the portfolio and keep the transaction costs down. The analysis is performed using historical simulation for two different cases. First, with the real changes of the forward rate curve and the discount curve. Then, with principal component analysis to reduce the dimension of the changes in the curves. These methods are compared with a method using the principal component variance to randomize new principal components.<br>Den här uppsatsen undersöke

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4

Epstein, D. "Uncertain interest rate modelling." Thesis, University of Oxford, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.302139.

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In this thesis, we introduce a non-probabilistic model for the short-term interest rate. The key concepts involved in this new approach are the non-diffusive nature of the short rate process and the uncertainty in the model parameters. The model assumes the worst possible outcome for the short rate path when pricing a fixed-income product (from the point of view of the holder) and differs in many important ways from the traditional approaches of fully deterministic or stochastic rates. In this new model, delta hedging and unique pricing play no role, nor does any market price of risk term appe

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5

Chau, Suk Ling. "Interest rate swap : quanto LIBOR and CMS rate /." View abstract or full-text, 2007. http://library.ust.hk/cgi/db/thesis.pl?MATH%202007%20CHAU.

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6

Hansen, Oyvind Grande. "Multifactor Interest Rate Models in Low-Rate Environments." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for fysikk, 2013. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-22624.

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This thesis studies a multi-factor Heath-Jarrow-Morton model and a LIBOR mar-ket model on the Norwegian, European and US interest rate market. The mainconcerns are the low-rate environment and exposure to negative interest rates inthese models. We begin by introducing financial markets and the mathematicalmodels explaining them. Further we discuss the problem with the current low-rateenvironment and the historical market practice. The focuses are implementationsof two multi-factor interest rate models and the presence of negative interest rates.The historical data is provided by DNB and consis

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7

Nikolaou, Kleopatra. "Essays on exchange rate and interest rate fluctuations." Thesis, University of Warwick, 2007. http://wrap.warwick.ac.uk/61950/.

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The aim of this thesis is to further investigate new empirical methods, results and implications on major topics relating to foreign exchange and interest rate markets. To this end, this thesis is organised in three chapters. The first chapter focuses on nominal exchange rates. It extends the literature of foreign exchange unbiasedness by including information from different derivatives markets. For the purpose of this thesis, it also implicitly provides a lead on the behaviour of interest rate differentials. The second chapter uses innovative econometric methodologies to add new insights in t

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8

Elhouar, Mikael. "Essays on interest rate theory." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-451.

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9

Unal, Birol. "Interest rate term structure models." Thesis, Imperial College London, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.407078.

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10

Miglietta, Giulio. "Topics in Interest Rate Modeling." Doctoral thesis, Università degli studi di Padova, 2015. http://hdl.handle.net/11577/3423897.

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In this thesis, we address some issues in the mathematical modeling of the term structure of interest rates. In Chapter 1, we set the notation, recall some fundamental results and analyze the problems which will be tackled in the thesis, in particular the distinction between instantaneous and discrete rates and the so-called multiple curve framework. In Chapter 2, we propose a multiple-curve model for the instantaneous spot rate and give a fundamental condition to automatically calibrate it to the initial term structure, whereas in Chapter 3 we put forward an HJM multiple-curve model for the

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11

Schmidt, Sandra [Verfasser]. "Interest Rate Dynamics, Interest Rate Expectations and the Operational Framework of Central Banks / Sandra Schmidt." Aachen : Shaker, 2010. http://d-nb.info/1081884746/34.

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12

Zhou, You 1970. "Capitalization rate, mortgage interest rate and commercial mortgage demand." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/32219.

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13

Ferrero, Giuseppe. "Expectations, interest rate and limited commitment." Doctoral thesis, Universitat Pompeu Fabra, 2005. http://hdl.handle.net/10803/7601.

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El tema genérico de la tesis es el estudio de modelos dinámicos que departen del supuesto tradicional de mercados perfectos y expectativas racionales. En el primer capitulo se estudia la política monetaria en un modelo de aprendizaje. En este modelo la producción y la inflación dependen de las expectativas, de los shocks a la economía y del tipo de interés determinado por el banco central. En esta economía los agentes aprenden sobre la mejor forma de prever la inflación y la producción futuras. Se muestra que la velocidad de aprendizajes puede ser muy lenta, es decir, que la economía c

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14

Mattoo, Mehraj-U.-Din. "A study of interest rate swaps." Thesis, Imperial College London, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.281690.

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15

Jackson, Alexander. "Interest rate and credit risk modelling." Thesis, University of Oxford, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.400043.

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16

Zagonov, Maxim. "Financial intermediation and interest rate risk." Thesis, City University London, 2011. http://openaccess.city.ac.uk/1189/.

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This thesis analyses the link between interest rate risk faced by financial intermediaries in the G-10 countries, their balance sheet composition and national bank regulation. The regulatory authorities both in the US and in Europe increasingly emphasise the issue of bank interest rate exposure. The importance of this topic is also reasserted by recent developments in the monetary environment. The thesis offers three major contributions to the area. First, it empirically investigates the interest rate risk exposure of financial intermediaries across a large international data sample over the 1

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17

BARBOSA, KLENIO DE SOUZA. "TRADE CREDIT: INVARIANT INTEREST RATE. WHY?" PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=3701@1.

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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>Há evidência - Petersen e Rajan (1997) - que fornecedores têm uma vantagem informacional sobre o risco de seus clientes. Entretanto, Elliehausen e Wolken (1993) reportam que taxas de crédito comercial são freqüentemente padronizadas. Por que os fornecedores não usam sua vantagem informacional para adequar taxas de juros a risco? Este trabalho demonstra que se a demanda por insumos for suficientemente inelástica, a competição com os bancos faz com que a taxa de crédito comercial seja invariante e cole na taxa bancária. Se,

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18

Ziervogel, Graham. "Hedging performance of interest-rate models." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20482.

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This dissertation is a hedging back-study which assesses the effectiveness of interest- rate modelling and the hedging of interest-rate derivatives. Caps that trade in the Johannesburg swap market are hedged using two short-rate models, namely the Hull and White (1990) one-factor model and the subsequent Hull and White (1994) two-factor extension. This is achieved by using the equivalent Gaussian additive-factor models (G1++ and G2++) outlined by Brigo and Mercurio (2007). The hedges are constructed using different combinations of theoretical zero-coupon bonds. A flexible factor hedging method

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19

Schumann, Gareth William. "Trolle-Schwartz HJM interest rate model." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/23030.

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The Trolle and Schwartz (2009) interest rate model prices interest rate derivatives in a generalised stochastic volatility framework. It is a reformulation of the multifactor Heath, Jarrow and Morton (1992) framework with stochastic volatility terms presented in an analogous fashion to the seminal Heston (1993) model. The Trolle and Schwartz (2009) model provides semi-analytical pricing formulas for zerocoupon bonds and zero-coupon bond options. These formulas are extended to price interest rate caplets, and therefore caps, as well as swaptions. These formulas are described as semi-analytical

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20

Pumprová, Zuzana. "Valuation Methods of Interest Rate Options." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73665.

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The subject of this thesis are selected interest rate models and valuation of interest rate derivatives, especially interest rate options. Time-homogeneous one-factor short rate models, Vasicek and Cox-Ingersoll-Ross, and time-inhomogeneous short rate model, Hull{White, are treated. Heath-Jarrow-Morton framework is introduced as an alternative to short rate models, evolving the entire term structure of interest rates. The short rate models are shown to be special cases of models within the framework. The models are derived using the risk-neutral pricing methodology.

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21

Trovato, Manlio Battaglia. "Interest rate models with Markov chains." Thesis, Imperial College London, 2009. http://hdl.handle.net/10044/1/8805.

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22

Kohler, Daniel. "Betting against uncovered interest rate parity." kostenfrei, 2008. http://www.biblio.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/3513.

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23

Mason, Marco <1988&gt. "Gli Interest Rate Swap in Italia." Master's Degree Thesis, Università Ca' Foscari Venezia, 2014. http://hdl.handle.net/10579/4215.

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Negli ultimi anni sempre più spesso si è sentito parlare di strumenti finanziari derivati e dei loro possibili effetti negativi. Questo elaborato propone di offrire una panoramica generale di un prodotto in particolare, l’Interest Rate Swap, inserito in due contesti italiani specifici, il settore pubblico e quello privato. Vengono trattate diverse tematiche: dall’analisi dei mercati Over The Counter all’evoluzione della normativa in materia di derivati, dalla contabilizzazione nei bilanci alle modalità di valutazione di questo strumento. Il testo si conclude analizzando due casi pratici: il pr

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24

Al-Zoubi, Haitham. "New Evidence on Interest Rate and Foreign Exchange Rate Modeling." ScholarWorks@UNO, 2003. http://scholarworks.uno.edu/td/467.

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This dissertation empirically and theoretically investigates three interrelated issues of market anomalies in interest rates derivatives and foreign exchange rates. The first essay models the spot exchange rate as a decomposition of permanent and transitory components. Unlike extant analysis, the transitory component could be stationary or explosive. The second essay examines the market efficiency hypothesis in the foreign exchange markets and relates the rejection of forward rate unbiasedness hypothesis to the existence of risk premium not to the failure of rational expectation. The

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25

Brodin, Therese, and Frida Harrysson. "Interest rate swap eller inte? : En studie om de största svenska företagens användning av interest rate swaps." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-27845.

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Syfte: Syftet är att undersöka svenska storföretags användande av derivatet ränteswap (svensk benämning för interest rate swap) för år 2012 och 2013 samt att undersöka skillnader utifrån tidigare funna bakomliggande faktorer mellan företag som använder olika typer av ränteswaps och företag som inte använder ränteswap. Metod: Studien tillämpade en empirisk totalundersökning gällande de icke-finansiella företagen noterade på Nasdaq OMX Stockholm Large Cap för slutet på år 2012 respektive år 2013. Utifrån företagens årsredovisningar kategoriserades företagen i fyra grupper baserat på företagets a

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26

Vocke, Carsten. "Hedging with multi-factor interest rate models /." [St. Gallen] : [s.n.], 2005. http://www.gbv.de/dms/zbw/503121223.pdf.

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27

Tsujimoto, Tsunehiro. "Calibration of the chaotic interest rate model." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/2568.

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In this thesis we establish a relationship between the Potential Approach to interest rates and the Market Models. This relationship allows us to derive the dynamics of forward LIBOR rates and forward swap rates by modelling the state price density. It means that we are able to secure the arbitrage-free condition and positive interest rate feature when we model the volatility drifts of those dynamics. On the other hand, we develop the Potential Approach, particularly the Hughston-Rafailidis Chaotic Interest Rate Model. The early argument enables us to infer that the Chaos Models belong to the

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28

Heap, John. "Enhanced techniques for complex interest rate derivatives." Thesis, University of Manchester, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.506270.

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29

Kuan, Chia-Hsuan. "The consitent pricing of interest rate options." Thesis, University of Warwick, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.250100.

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30

Sorwar, Ghulam. "Valuation of single-factor interest rate derivatives." Thesis, City University London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312935.

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31

Belkotain, Mehdi. "X-Value Adjustments for Interest Rate Derivatives." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229966.

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In this report, we present the X-Value Adjustments and we introduce a simulation approach to compute these adjustments. We present the steps for the calculation of the Credit Value Adjustment (CVA) on interest rate derivatives as a practical example. An important part of the report will focus on the different methods to compute the expected future exposure. In this context, we consider two methods based on Monte Carlo simulations in order to compute the expected exposure. We study also the G2++ interest rate model used for the simulations and we detail the calibration process and apply it on m

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32

Suomala, T. (Taneli). "Interest rate spreads and stock market returns." Master's thesis, University of Oulu, 2013. http://urn.fi/URN:NBN:fi:oulu-201308301660.

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This thesis studies systematic risk factors and return predictability in the Finnish stock market. The purpose is to test whether global Fama French factors and three interest rate spreads are risk factors that explain the cross sectional variation of excess returns in the Finnish stock market. The thesis also studies whether these factors are variables that forecast excess stock returns in the Finnish market. Research method is a linear factor pricing model, where excess returns are explained with these six risk factors. Main result of this study is that global Fama French factors, term spre

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33

Гордієнко, Віта Павлівна, Вита Павловна Гордиенко, Vita Pavlivna Hordiienko, et al. "Interest rate and economic growth in Ukraine." Thesis, Sumy State University, 2020. https://essuir.sumdu.edu.ua/handle/123456789/81029.

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Дослідження присвячене аналізу процентної ставки в контексті економічне зростання в Україні.<br>Исследование посвящено анализу процентной ставки в контексте экономический рост в Украине.<br>The study is devoted to the analysis of interest rates in the context of economic growth in Ukraine.

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34

Iqbal, Adam Saeed. "Dynamic interest rate and credit risk models." Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/6851.

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This thesis studies the pricing of Treasury bonds, the pricing of corporate bonds and the modelling of portfolios of defaultable debt. By drawing on the related literature, Chapter 1 provides economic background and motivation for the study of each of these topics. Chapter 2 studies the use of Gaussian affine dynamic term structure models (GDTSMs) for forming forecasts of Treasury yields and conditional decompositions of the yield curve into expectation and risk premium components. Specifically, it proposes market prices of risk that can generate bond price time series that are consistent with

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35

Berg, Simon, and Victor Elfström. "IRRBB in a Low Interest Rate Environment." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273589.

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Financial institutions are exposed to several different types of risk. One of the risks that can have a significant impact is the interest rate risk in the bank book (IRRBB). In 2018, the European Banking Authority (EBA) released a regulation on IRRBB to ensure that institutions make adequate risk calculations. This article proposes an IRRBB model that follows EBA's regulations. Among other things, this framework contains a deterministic stress test of the risk-free yield curve, in addition to this, two different types of stochastic stress tests of the yield curve were made. The results show t

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36

Lin, Maio Wen, and 林妙紋. "Interest Rate Swap & Interest Rate Swaption Valuation." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/04815118689727058094.

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37

譚丹琪. "Hedging interest rate risk with interest rate futures." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/44141351315523049026.

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38

Chun-Kuei, Chiang, and 江存貴. "Term Structure of Interest rate theory and Interest rate targeting." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/66766920606667925633.

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39

Chen, Chi-Tsai, and 陳其財. "Exotic Interest Rate Derivative — Average Interest Rate Cap's Pricing, Hedging and Application." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/64377581315706163015.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>89<br>Thesis Abstract: Hedging interest rate risk has become one of the most common and important type of a financial manager’s risk management activities. In the last decade several instruments have been developed to help the manager to control these risks, such as swaps, forwards rate agreements, caps and collars. Caps in particular are used whenever the manager wants to have a ceiling on the borrowing costs and at the same time wants to profit form lower interest rates. Some firms would view their objective as hedging their average cos

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Nein, Jainn Chuen, and 粘健春. "The effect of bank interest rate decision for deregulation of interest rate." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/02496717143865146867.

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Lin, Jiann-Ming, and 林建明. "Pricing Interest Rate Swap." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/76156362877839291056.

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碩士<br>淡江大學<br>財務金融學系<br>86<br>This study has developed a two-factor stocahstic volatility to investigate interest rate swap valuations and bond valuationsunder stochastic volatility, and also, assuming initial stochasticvolatility equals the volatility of the constant volatility model,to compare the price differences of the two models. Our findings show that fixed income security prices demonstratea similar sensitivity to parameters in the constant volatility modeland the stochastic vola

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Hsu, Ching-Yun, and 許瀞允. "The interaction between benchmark interest rate and retail interest rate: evidence from Taiwan." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/34287054960973976752.

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碩士<br>淡江大學<br>經濟學系碩士班<br>100<br>This thesis employs the Tsay (1998) multivariate threshold model and investigates the relationship between the benchmark rate and banks’ retail rates to examine the pass-through process in the banking system of Taiwan. The main findings indicate that the pass through from the benchmark rate to retail rate is complete in the long run. In addition, with the maturity of the retail rates increase, the impact of benchmark rates on retail rate rises.

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Cheng-Chung, Kuang. "The Connection of the Interest Rate Prospection and the Term Structure of Interest Rate." 2006. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-1007200600042100.

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Kuang, Cheng-Chung, and 匡正中. "The Connection of the Interest Rate Prospection and the Term Structure of Interest Rate." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/74675412872886834753.

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碩士<br>國立臺灣大學<br>國際企業學研究所<br>94<br>This paper explores a framework to study the connection of the interest rate prospection and the term structure of interest rate under the Ho and Lee (1986) model. By a calibration method, it estimates the parameters of Ho-Lee model to fit the observed term structure curve. Using the data during 1986-2005, the results of the predictive ability of the Ho and Lee model indicate that the model performs well in interest rate expectation. Besides, the results of the predictive ability of the Ho and Lee model for Fed Funds target rate indicate that the model perform

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45

Tsung-Mu, yang. "interest rate barrier options pricing." 2005. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-1507200512450300.

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Wu, Guan-shiun, and 吳冠勳. "Pricing of Interest Rate Derivatives." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/26098968274018369197.

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碩士<br>國立臺北大學<br>統計學系<br>97<br>HJM model is a very general interest rate model, it only required inputs are the initial yield curve and volatility structure for pure discount bond. This paper discussed the problem of pricing a spread option on the difference of two interest rates under Heath, Jarrow and Morton (hereafter HJM) model. We know that there is no closed form of spread option. This paper will introduce a method which proposed by Borovkova,Permana and Weide (2007). By this method, we will price the yield rate spread options and the LIBOR rate spread option. Finally, we can compare with

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47

Zhan, Kai-Wei, and 詹凱惟. "Pricing Asian Interest Rate Swaps." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/83011366192534939255.

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碩士<br>國立臺北大學<br>統計學系<br>97<br>This search uses the Heath, Jarrow and Morton Model to derive closed-form solution for average interest rate swaps, whose floating-rate payment are determined by the average spot LIBOR rates over a period between two consecutive settlement dates. And we change from risk-neutral probability measure to forward martingale probability measure. We describle the valuating properties of average interest rate swaps and compare them with those of standard interest rate swaps, and we show that the important factors that make the swap rate of average and standard interest ra

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yang, Tsung-Mu, and 楊宗穆. "interest rate barrier options pricing." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/22458368457470890001.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>93<br>Cheuk and Vorst’s method [1996a] can be applied to price barrier options using one-factor interest rate models when recombining trees are available. For the Hull-White model, barriers on bonds or swap rates are transformed to time-dependent barriers on the short rate and we use a time-dependent shift to position the tree optimally with respect to the barrier. Comparison with barrier options on bonds or swaps when the observation frequency is discrete confirms that the method is faster than the Monte Carlo method. Unlike other methods which are only applicable

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Chen, Mei-Ching, and 陳玫靜. "An empirical analysis the effect of interest-rate variance on term structure of interest rate." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/19137038702749999935.

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碩士<br>淡江大學<br>財務金融學系碩士班<br>93<br>The aim of this study is to empirically verify the effect of interest-rate variance on the shape of the yield curve with the use of ARCH-M model for the short-rate changes and the yield curve slope, that based on sample taken from developed countries and developing countries. The empirical results show as follows: 1. The relationship of the change in interest rate variance that lead to a change in short term interest rate is better explained in our sample from the develop countries compare with the sample taken from developing countries. 2. The relationship bet

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Chyan, Hcuan-Tian, and 錢川田. "An Investigation of the interaction and arbitrage of the forward rate agreement 、interest rate futures and interest rate swap." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/62627618258412254982.

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碩士<br>東吳大學<br>經濟學系<br>87<br>Financial institutions accept new interest rate swap contracts of end-user , they stand ready to deal in reasonable amounts in most trading condition and without immediately available matched swaps . Financial institutions are generally temporality hedging or warehousing individual swaps before matching swaps before available . Long-term swap are warehoused with government bond , short-term swaps are warehoused with strips of futures or forward rate agreement. The use of futures and forward rate agreement to arbitrage and hedge swaps means tha

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