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Dissertations / Theses on the topic 'Interest rate derivative'

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Published: 4 June 2021

Last updated: 7 February 2022

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1

Kang, Zhuang. "Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk." University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282168157.

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2

Kirriakopoulos, Konstantinos. "Optimal portfolios with constrained sensitivities in the interest rate market." Thesis, Imperial College London, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.362717.

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3

Pang, Kin. "Calibration of interest rate term structure and derivative pricing models." Thesis, University of Warwick, 1997. http://wrap.warwick.ac.uk/36270/.

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We argue interest rate derivative pricing models are misspecified so that when they are fitted to historical data they do not produce prices consistently with the market. Interest rate models have to be calibrated to prices to ensure consistency. There are few published works on calibration to derivatives prices and we make this the focus of our thesis. We show how short rate models can be calibrated to derivatives prices accurately with a second time dependent parameter. We analyse the misspecification of the fitted models and their implications for other models. We examine the Duffle and Kan

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4

Van, Wijck Tjaart. "Interest rate model theory with reference to the South African market." Thesis, Stellenbosch : University of Stellenbosch, 2006. http://hdl.handle.net/10019.1/3396.

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Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006.<br>An overview of modern and historical interest rate model theory is given with the specific aim of derivative pricing. A variety of stochastic interest rate models are discussed within a South African market context. The various models are compared with respect to characteristics such as mean reversion, positivity of interest rates, the volatility structures they can represent, the yield curve shapes they can represent and weather analytical bond and derivative prices can be found. The distribution of

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5

Wu, Andrew Man Kit. "Efficient lattice methods for pricing interest rate options and other derivative securities under stochastic volatility." Thesis, University of Strathclyde, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.248776.

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6

Mutengwa, Tafadzwa Isaac. "An analysis of the Libor and Swap market models for pricing interest-rate derivatives." Thesis, Rhodes University, 2012. http://hdl.handle.net/10962/d1005535.

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This thesis focuses on the non-arbitrage (fair) pricing of interest rate derivatives, in particular caplets and swaptions using the LIBOR market model (LMM) developed by Brace, Gatarek, and Musiela (1997) and Swap market model (SMM) developed Jamshidan (1997), respectively. Today, in most financial markets, interest rate derivatives are priced using the renowned Black-Scholes formula developed by Black and Scholes (1973). We present new pricing models for caplets and swaptions, which can be implemented in the financial market other than the Black-Scholes model. We theoretically construct these

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7

Götsch, Irina. "Libor market model theory and implementation." Saarbrücken VDM, Müller, 2006. http://deposit.d-nb.de/cgi-bin/dokserv?id=2868878&prov=M&dok_var=1&dok_ext=htm.

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8

Chu, Chi Chiu. "Pricing models of equity-linked insurance products and LIBOR exotic derivatives /." View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?MATH%202005%20CHU.

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9

Klípová, Iva. "Nástroje sloužící k zajištění kurzového a úrokového rizika." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-81376.

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The goal of thesis is to clarify the nature of the exchange rate and interest rate risk and the possibility to describe the management of these risks. It represents the individual tools used to ensure the exchange rate and interest rate risk and the specific examples explaining the principle of their functioning. The thesis is divided into three parts - the exchange rate hedging, interest rate hedging and risk management, or a summary of each procedure, a brief guide for managers of companies involved in the risk of fluctuations in exchange rates or interest rates touching. Case studies of spe

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10

Alfeus, Mesias. "Heath–Jarrow–Morton models with jumps." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96783.

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Thesis (MSc)--Stellenbosch University, 2015.<br>ENGLISH ABSTRACT : The standard-Heath–Jarrow–Morton (HJM) framework is well-known for its application to pricing and hedging interest rate derivatives. This study implemented the extended HJM framework introduced by Eberlein and Raible (1999), in which a Brownian motion (BM) is replaced by a wide class of processes with jumps. In particular, the HJM driven by the generalised hyperbolic processes was studied. This approach was motivated by empirical evidence proving that models driven by a Brownian motion have several shortcomings, such as in

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11

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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12

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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13

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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14

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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15

Twarog, Marek B. "Pricing security derivatives under the forward measure." Link to electronic thesis, 2007. http://www.wpi.edu/Pubs/ETD/Available/etd-053007-142223/.

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16

Pietersz, Raoul. "Pricing Models for Bermudan-Style Interest Rate Derivatives." [Rotterdam]: Erasmus Research Institute of Management (ERIM), Erasmus University Rotterdam ; Rotterdam : Erasmus University Rotterdam [Host], 2005. http://hdl.handle.net/1765/7122.

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17

Bouziane, Markus. "Pricing interest rate derivatives a fourier transform based approach." Berlin Heidelberg Springer, 2007. http://d-nb.info/989148165/34.

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18

Nohrouzian, Hossein. "An Introduction to Modern Pricing of Interest Rate Derivatives." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28415.

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This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. Moreover, the construction of interest rate models (term-structure models), pricing of bonds and interest rate derivatives, using both equilibrium and no-arbitrage approaches are discussed, compared and contrasted. Further, we look at the HJM framework and the LMM model to evaluate and simulate forward curves and find the forward rates as t

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19

Nyamai, Dayton. "Pricing of Interest Rate Derivatives under the Cheyette model." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-421201.

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20

Kohl-Landgraf, Peter. "PDE valuation of interest rate derivatives from theory to implementation." Norderstedt Books on Demand GmbH, 2007. http://deposit.d-nb.de/cgi-bin/dokserv?id=3009795&prov=M&dok_var=1&dok_ext=htm.

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21

Edwards, Paul. "Quantile hedging interest rate derivatives using the Libor market model." Thesis, Imperial College London, 2005. http://hdl.handle.net/10044/1/11361.

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22

Yoshimura, Raytza Resende. "Fatores determinantes do hedge em empresas brasileiras de capital aberto." Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/96/96133/tde-01122016-110003/.

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A operação de hedge tem como função primária a proteção contra as oscilações de mercado, tais oscilações são subdivididas principalmente em variação da taxa de juros, taxa de câmbio e preço de commodities. Uma das maneiras para se operacionalizar o hedge é por meio da utilização de derivativos. Assim, é do interesse de credores, investidores e demais interessados obter mais informações acerca dessas operações, surgindo o seguinte questionamento: em empresas brasileiras de capital aberto, quais fatores possuem relação com a utilização de derivativos para fins de hedge de variação de taxa de jur

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23

Slinko, Irina. "Essays in option pricing and interest rate models." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögskolan i Stockholm] (EFI), 2006. http://www2.hhs.se/EFI/summary/706.htm.

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24

Bouziane, Markus [Verfasser]. "Pricing interest rate derivatives : a fourier transform based approach / Markus Bouziane." Berlin, 2008. http://d-nb.info/989148165/34.

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25

Svensson, Emma, and Viktor Tingström. "Pricing interest rate derivatives : The effects of the 2007 credit crisis." Thesis, Jönköping University, JIBS, Business Administration, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-13095.

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<p>The purpose of this thesis is to compare and analyze the single curve and the multiple curve frameworks used to price interest rate derivatives and to discuss the advantages of the multiple curve framework. We also describe how the overall derivative market has been affected by the 2007 credit crisis.</p>

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26

Kaisajuntti, Linus. "Multidimensional Markov-Functional and Stochastic Volatiliy Interest Rate Modelling." Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2226.

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This thesis consists of three papers in the area of interest rate derivatives modelling. The pricing and hedging of (exotic) interest rate derivatives is one of the most demanding and complex problems in option pricing theory and is of great practical importance in the market. Models used in production at various banks can broadly be divided in three groups: 1- or 2-factor instantaneous short/forward rate models (such as Hull & White (1990) or Cheyette (1996)), LIBOR/swap market models (introduced by Brace, Gatarek & Musiela (1997), Miltersen, Sandmann & Sondermannn (1997) and Jams

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27

Lutembeka, Shedrack. "Hedging Interest Rate Derivatives (Evidence from Swaptions) in a Negative Interest Rate Environment: : A comparative analysis of Lognormal and Normal Model." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-34697.

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This thesis is about hedging interest rate derivatives in a negative interest rate environment. The main focus is on doing a comparative analysis on how risk varies between Lognormal and Normal models. This because Lognormal models do not work in the negative interest rate since they do not allow negative values, hence there is a need of using Normal models. The use of different models will yield identical price but different hedges. In order to study this we looked at the case of Swaptions and Swaps as an example of interest rate derivatives. To study risk in these two models we employed the

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28

Sarais, Gabriele. "Pricing inflation and interest rates derivatives with macroeconomic foundations." Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/25266.

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I develop a model to price inflation and interest rates derivatives using continuous-time dynamics linked to monetary macroeconomic models: in this approach the reaction function of the central bank, the bond market liquidity, and expectations play an important role. The model explains the effects of non-standard monetary policies (like quantitative easing or its tapering) on derivatives pricing. A first adaptation of the discrete-time macroeconomic DSGE model is proposed, and some changes are made to use it for pricing: this is respectful of the original model, but it soon becomes clear that

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29

Frey, Roman. "Monte Carlo methods with application to the pricing of interest rate derivatives /." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03393436001/$FILE/03393436001.pdf.

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30

Kazziha, Soraya. "Interest rate models, inflation-based derivatives, trigger notes and cross-currency swaptions." Thesis, Imperial College London, 2000. http://hdl.handle.net/10044/1/7281.

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31

Smetaniouk, Taras. "Pricing variance derivatives using hybrid models with stochastic interest rates." College Park, Md.: University of Maryland, 2008. http://hdl.handle.net/1903/8200.

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Thesis (Ph. D.) -- University of Maryland, College Park, 2008.<br>Thesis research directed by: Applied Mathematics and Scientific Computation Program. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.

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32

Fodor, Daniel. "Theoretical incentives vs. perceived motives for using interest rate derivatives in Swedish corporations." Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-161227.

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The purpose of this research is to highlight if contemporary practices for using interest rate derivatives in large non-financial Swedish corporations are consistent with theoretical incentives for using such derivative instruments. Most theoretical incentives were developed before the financial crisis of 2007-08. The introduction of new regulations, accounting practices and pricing methods has changed the prices of derivatives and the administrative burden related to hedging. Traditional academic literature commonly gives eight incentives for why corporations use interest rate derivatives (de

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33

El, Menouni Zakaria. "Pricing Interest Rate Derivatives in the Multi-Curve Framework with a Stochastic Basis." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-163274.

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The financial crisis of 2007/2008 has brought about a lot of changes in the interest rate market in particular, as it has forced to review and modify the former pricing procedures and methodologies. As a consequence, the Multi-Curve framework has been adopted to deal with the inconsistencies of the frameworks used so far, namely the single-curve method. We propose to study this new framework in details by focusing on a set of interest rate derivatives such as deposits, swaps and caplets, then we explore a stochastic approach to model the Libor-OIS basis spread, which has appeared since the beg

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34

Gu, Ying. "Essays on volatility models using EMM estimation /." Thesis, Connect to this title online; UW restricted, 2006. http://hdl.handle.net/1773/7426.

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35

Zhang, Fan. "Extension and application of LIBOR market model /." View Abstract or Full-Text, 2003. http://library.ust.hk/cgi/db/thesis.pl?MATH%202003%20ZHANG.

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36

Singla, Akheil. "Financial Crises & Financial Derivatives: Government Use of Interest Rate Swaps From 2003 - 2012." The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1437058804.

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37

Wang, Shijun. "Pricing American derivatives and interest rates derivatives based on characteristic function of the underlying asset returns." Thesis, Queen Mary, University of London, 2003. http://qmro.qmul.ac.uk/xmlui/handle/123456789/1805.

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In this thesis I introduce a new methodology for pricing American options when the underlying model of the asset price allows for stochastic volatility and/or it has a multi-factor structure. Our approach is based on a decomposition of an American option price into its European options counterpart price and the early exercise premium, paid by the option holder in order to keep the right of exercising the option at any time-point before its expiration date. Based on closed form solutions of the joint characteristic function of the state variables driving the underlying model, the thesis provide

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38

Park, Tae Young. "Efficiency and Accuracy of Alternative Implementations of No-Arbitrage Term Structure Models of the Heath-Jarrow-Morton Class." Diss., Virginia Tech, 2001. http://hdl.handle.net/10919/29494.

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Models of the term structure of interest rates play a central role in the modern theory of pricing bonds and other interest rate claims. Term structure models based on the principle of no-arbitrage, especially those of the Heath-Jarrow-Morton (1992) class, have become very popular recently, both with academics and practitioners. Surprisingly however, although the implied volatility function plays a crucial role in these no-arbitrage term structure models, there is little systematic evidence to guide optimal model specification within this broad class. We study the implied volatility in the Hea

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39

Damberg, Petter, and Alexander Gullnäs. "Interest rate derivatives: Pricing of Euro-Bund options : An empirical study of the Black Derman & Toy model (1990)." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-24472.

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The market for interest rate derivatives has in recent decades grown considerably and the need for proper valuation models has increased. Interest rate derivatives are instruments that in some way are contingent on interest rates such as bonds and swaps and most financial transactions are in some way exposed to interest rate risk. Interest rate derivatives are commonly used to hedge this risk. This study focuses on the Black Derman & Toy model and its capability of pricing interest rate derivatives. The purpose was to simulate the model numerically using daily Euro-Bunds and options data t

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40

Darbyshire, John Hamish Mcgregor. "Non-Linear Optimisation and Testing in the Field of Risk Management of Interest Rate Derivatives." Thesis, Uppsala universitet, Institutionen för informationsteknologi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-397452.

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41

van, de Wiel Wimjan, and Bock Felix Kristopher. "Real Estate Financing and Interest Rate Hedging : A quantitative real estate investment case study." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-36235.

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Background: The expansive monetary policy of the European Central Bank has been leading to all-time-low interest rates and to a strong move into real estate investment. Low interest rates can work in favor of the investor (due to low interest rate expenditures), but increasing interest rates can jeopardize real estate investments. Since changes in interest rates are unpredictable, an investor needs to deal with this volatility. The capital market offers several financial instruments (so-called “derivatives”) to overcome the above-mentioned obstacle. There is no “one-size-fits-all” strategy. Th

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42

Rayée, Grégory. "Essays on pricing derivatives by taking into account volatility and interest rates risks." Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209649.

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Dans le Chapitre 1, nous présentons une nouvelle approche pour évaluer des options dites à barrières basée sur une méthode connue sous le nom de méthode Vanna-Volga. Cette nouvelle méthode nous permet une calibration simple et rapide sur le marché des options à barrières directement ce qui permet d'évaluer ces options avec un outil en accord avec le marché. Nous comparons également nos résultats avec ceux provenant d’autres modèles célèbres et nous étudions la sensibilité de cette méthode par rapport aux données du marché. Nous donnons une nouvelle justification théorique associée à la méthode

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43

Williams, Lisa E. "Essays on Risk Management Strategies for U.S. Bank Holding Companies." Kent State University / OhioLINK, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=kent1339702030.

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44

Hellander, Martin. "Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-173225.

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In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. The market price of the counterparty credit risk is known as the Credit Value Adjustment (CVA). In a bilateral contract, such as a swap, the party’s own creditworthiness also has to be taken into account, leading to another adjustment known as the Debi

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45

Dalmagro, Lucas Bassani. "Avaliação de derivativos de taxas de juros : uma aplicação do Modelo CIR sobre opções de IDI." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2015. http://hdl.handle.net/10183/127250.

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Este trabalho tem por objetivo principal aplicar o modelo de precificação de opções de taxas de juros proposto por Barbachan e Ornelas (2003), com base nos modelos de taxa de juro e avaliação de opções de Cox, Ingerssol e Ross (1985), para avaliação de opções de compra sobre o Índice de Taxa Média de Depósitos Interfinanceiros de Um Dia (IDI), negociadas na BM&FBovespa. Para estimação dos parâmetros deste modelo, foi empregado o método de Máxima Verossimilhança. Neste contexto, também fez-se uso da fórmula de precificação de opções proposta por Black (1976), adaptada para o mercado de derivati

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46

Wang, Dan. "Interest-rate models : an extension to the usage in the energy market and pricing exotic energy derivatives." Thesis, Imperial College London, 2009. http://hdl.handle.net/10044/1/5583.

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In this thesis, we review various popular pricing models in the interest-rate market. Among these pricing models, we choose the LIBOR Market model (LMM) as the benchmark model. Based on market practice experience, we also develop a pricing model named the “Market volatility model”. By pricing vanilla interest-rate options such as interest-rate caps and swaptions, we compare the performance of our Market volatility model to that of the LMM. It is proved that the Market Volatility model produce comparable results to the LMM, while its computing efficiency largely exceeds that of the LMM. Followi

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47

Samuelsson, Niclas. "Empirical study of methods to complete the swaption volatility cube from the caplet volatility surface." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-447827.

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Fixed income markets are vast markets, involving a large number of actors including financial institutions, state actors, asset managers and corporations. An import part of these markets are contracts written on the xIBOR rates. This report is concerned with the trying to provide prices for options written on these rates, in particular for swaptions that are not at-the-money (atm) utilizing prices in the cap market. Different methods have been suggested in the literature for solving this problem. In particular we study the method suggested by Hagan et al where one calibrates a SABR model to th

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48

Riga, Candia. "The Libor Market Model: from theory to calibration." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2011. http://amslaurea.unibo.it/2288/.

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This thesis is focused on the financial model for interest rates called the LIBOR Market Model. In the appendixes, we provide the necessary mathematical theory. In the inner chapters, firstly, we define the main interest rates and financial instruments concerning with the interest rate models, then, we set the LIBOR market model, demonstrate its existence, derive the dynamics of forward LIBOR rates and justify the pricing of caps according to the Black’s formula. Then, we also present the Swap Market Model, which models the forward swap rates instead of the LIBOR ones. Even this model is justi

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49

Garisch, Simon Edwin. "Convertible bond pricing with stochastic volatility : a thesis submitted to the Victoria University of Wellington in fulfilment of the requirements for the degree of Masters in Finance /." ResearchArchive@Victoria e-thesis, 2009. http://hdl.handle.net/10063/1100.

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50

Sun, Jiaqi. "A modelling process of short-term interest rate risk management for the South African commercial banking sector." Thesis, Stellenbosch : University of Stellenbosch, 2011. http://hdl.handle.net/10019.1/6747.

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Thesis (MComm (Business Management))--University of Stellenbosch, 2011.<br>ENGLISH ABSTRACT: This study focuses on banking book interest rate risk management, more specifically shortterm interest rate risk management problems. This type of risk is induced by the inflation targeting policy of the South African Reserve Bank. As a result, inflation leads to an uncertain interest rate cycle and a period of uncertain interest rate levels as it relates to lending and borrowing products in the South African commercial banking sector. The lending rates of most South African commercial banks are t

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