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Dissertations / Theses on the topic 'Interest rate derivatives'

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Published: 4 June 2021
Last updated: 25 July 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

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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3

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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4

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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5

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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6

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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7

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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8

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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9

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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10

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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11

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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12

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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13

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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14

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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15

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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16

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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17

Prezioso, Valentina. "Interest rate derivatives pricing when the short rate is a continuous time finite state Markov process." Doctoral thesis, Università degli studi di Padova, 2010. http://hdl.handle.net/11577/3421547.

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The purpose of this work is to price interest rate derivatives by assuming the spot rate as a time-continuous Markov chain with a finite state space. Our model is inspired by Filipovic'-Zabczyk [1]: we extend their discrete time structure by another one with random times, considering in this way the random jumps realistically occurred in the market, and we use a technique based on a contracting operator. We are able to price with the same approach zero-coupon bonds, caps and swaptions; furthermore we present some numerical results for the pricing of these products. We finally extend the on
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18

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 &amp; White (1990) or Cheyette (1996)), LIBOR/swap market models (introduced by Brace, Gatarek &amp; Musiela (1997), Miltersen, Sandmann &amp; Sondermannn (1997) and Jams
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19

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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20

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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21

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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22

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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23

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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24

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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25

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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26

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 &amp; 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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27

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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28

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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29

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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30

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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31

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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32

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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33

Silva, Allan Jonathan da. "A new finite difference method for pricing and hedging interest rate derivatives : comparative analysis and the case of the idi option." Laboratório Nacional de Computação Científica, 2015. https://tede.lncc.br/handle/tede/208.

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Submitted by Maria Cristina (library@lncc.br) on 2015-07-27T15:48:13Z No. of bitstreams: 1 AJS1.pdf: 2780468 bytes, checksum: 3ef8d2a715329dfd670784063f307adb (MD5)<br>Approved for entry into archive by Maria Cristina (library@lncc.br) on 2015-07-27T18:05:09Z (GMT) No. of bitstreams: 1 AJS1.pdf: 2780468 bytes, checksum: 3ef8d2a715329dfd670784063f307adb (MD5)<br>Made available in DSpace on 2015-07-27T18:07:28Z (GMT). No. of bitstreams: 1 AJS1.pdf: 2780468 bytes, checksum: 3ef8d2a715329dfd670784063f307adb (MD5) Previous issue date: 2015-06-02<br>Conselho Nacional de Desenvolvimento Cientí
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34

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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35

Hasic, Dino, and Ajdin Pasic. "Ränteswappar i svenska fastighetsbolag : en kvalitativ studie som diskuterar hur användandet av ränteswappar ser ut idag bland svenska fastighetsbolag." Thesis, KTH, Fastigheter och byggande, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-297555.

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Denna uppsats behandlar vilka faktorer som påverkar svenska fastighetsbolags syn på ränteswappar och huruvida coronapandemin, IFRS regelverket, den nya referensräntan Swestr eller bolagens rating har någon betydelse i detta. Studien undersöker vidare hur stor efterfrågan på räntederivat tidigare har varit, samt hur framtidsutsikterna ser ut gällande användandet av ränteswappar. För att besvara studiens problemformulering har en kvalitativ metod använts, där fem semistrukturerade intervjuer med både fastighetsbolag och en bank varit utgångspunkten till arbetets slutsats. Studiens resultat visar
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36

Ráftl, Martin. "Řízení rizik pomocí úrokových a měnových swapů." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-74689.

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The thesis is presents in detail selected financial derivatives, including interest and currency swaps and other appropriate tools to hedge against interest rate and currency risk. It also shows the accounting and valuation procedures and also leads to the classification of risks associated with the selected instruments. Interpretation and analysis are focused on the economic environment in the Czech Republic and is based on the conventions of the local capital market. Theoretical aspects apply a simple model of interest-sensitive portfolios and examine the effectiveness and validity of two ba
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37

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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38

FANTINI, Giulia. "Financial Derivatives usage by UK & Italian SMEs. Empirical evidence from UK & Italian non-financial firms." Doctoral thesis, Università degli studi di Ferrara, 2014. http://hdl.handle.net/11392/2389056.

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A number of studies have examined the risk management practices within non-financial companies. This research is a comparative study of derivative usage among UK and Italian non-financial listed SMEs over the time period 2005-2012. The aspects it refers concern the management of financial risks which to date (in Italy) has been little studied from the point of view of literature because of the paucity of data. The aim of this research is to provide evidence for UK and Italian non-financial listed SMEs on the determinants of hedging and on the types of financial derivatives used as hedging inst
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39

Kotálová, Magdalena. "The Switch from LIBOR to OIS Discounting." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-206727.

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The main contribution of the diploma thesis is to give a comprehensive picture of the switch from LIBOR to OIS discounting. Prior to the global financial crisis, LIBOR (London Interbank Offered Rate) represented an approximation of the risk-free rate in the valuation of interest rate derivatives. The collapse of Lehman Brothers in 2008 resulted in sharp widening of the LIBOR-OIS spread, an indicator of the interbank market stress. Many derivative practitioners have become concerned about the choice of an appropriate risk-free rate. Traditional valuation approaches using LIBOR discounting have
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40

Holička, Petr. "Úrokové swapy a jejich oceňování." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-18708.

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This thesis deals with interest rate swaps. In addition to chapters on basic principles of interest rate swaps also provides insight into the current situation in the derivative markets. The main part is devoted to the valuation of interest rate swaps, where is in addition to the theoretical site also solved the problem of obtaining the necessary data for calculations in practice. The conclusion of this work is devoted to two practical examples, which are dealing with the problem of the valuation of interest rate swaps.
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41

Bahl, Raj Kumari. "Mortality linked derivatives and their pricing." Thesis, University of Edinburgh, 2017. http://hdl.handle.net/1842/25499.

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This thesis addresses the absence of explicit pricing formulae and the complexity of proposed models (incomplete markets framework) in the area of mortality risk management requiring the application of advanced techniques from the realm of Financial Mathematics and Actuarial Science. In fact, this is a multi-essay dissertation contributing in the direction of designing and pricing mortality-linked derivatives and offering the state of art solutions to manage longevity risk. The first essay investigates the valuation of Catastrophic Mortality Bonds and, in particular, the case of the Swiss Re M
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42

Kalavrezos, Michail. "Pricing Caps in the Heath, Jarrow and Morton Framework Using Monte Carlo Simulations in a Java Applet." Thesis, Mälardalen University, Department of Mathematics and Physics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-469.

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<p>In this paper the Heath, Jarrow and Morton (HJM) framework is applied in the programming language Java for the estimation of the future spot rate. The subcase of an exponential model for the diffusion coefficient (volatility) is used for the pricing of interest rate derivatives (caps).</p>
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43

Dalekorejová, Petra. "Finanční deriváty v praxi." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-224911.

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The subject of the Master thesis „Financial Derivatives in Praxis“ is the analysis of the all kinds of financial derivates.The first part of the thesis deals with the general description of the derivates. In the next part of the thesis analysis of individual spices of derivates and their dividing into interest rate derivates and currency derivates is made. The final, practical part of the thesis, is devoted to the practical using of derivates in the hedging interest rate and currency risk on specific examples of companies and the offer of hedging on the Czech financial market.
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44

Antas, Vilém. "Yield Curve Constructions." Master's thesis, Vysoká škola ekonomická v Praze, 2016. http://www.nusl.cz/ntk/nusl-264627.

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The goal of this thesis is to analyze the mathematical apparatus of the most widespread methods used for the yield curves construction. It aims to introduce not only the various of construction models but also to describe the whole process of creation, while discussing the advantages and disadvantage of individual methods. The first chapter focus on the general theory and the use of the term structure of interest rates in practice. The second part deals with the construction process itself and describes the most frequently used methods. The last chapter then shows the real application of selec
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45

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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46

Suzuki, Fernando Kenji. "Modelo HJM com jumps: o caso brasileiro." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/14021.

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Submitted by Fernando Kenji Suzuki (fernandok.suzuki@gmail.com) on 2015-09-15T02:03:13Z No. of bitstreams: 1 main.pdf: 1014824 bytes, checksum: 78c5726b7429d94596849075c18716ec (MD5)<br>Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Prezado Fernando, boa tarde Conforme Normas da ABNT, será necessário realizar os seguintes ajustes: Na CAPA: Seu nome deve estar um pouco acima, de uma maneira centralizada entre o nome da escola e o título do trabalho. CAPA e CONTRACAPA: Retirar a formatação Itálica da palavra Jumps. Em seguida realize uma nova submissão. Att.
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47

Gu, Yeying. "Interest Rate Derivative Pricing Post-Crisis: Theory and Applications." Thesis, University of Sydney, 2018. https://hdl.handle.net/2123/23696.

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Pricing of vanilla interest rate derivatives was thought to be well understood until the 2008 financial crisis. During the crisis, two distinctive features emerged in the interest rate derivatives market, as a result of which, traditional valuation methods are no longer appropriate. First, bilateral derivative transactions between major financial institutions were no longer considered risk-free. This gave rise to the emergence of many valuation adjustments, collectively known as xVAs. Second, tenor spreads between the Ibor and the OIS curves, which were barely noticeable before the crisis, spi
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48

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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49

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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50

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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