Browsing by Author "Konaite, Tshana Tumelo"

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • No Thumbnail Available
    Item
    Pricing Interest Rate Derivatives Using The Forward Market Model
    (University of the Witwatersrand, Johannesburg, 2024-10) Konaite, Tshana Tumelo; Mudavanhu, Blessing
    The IBOR are due to be discontinued and their replacements have been chosen to be the overnight rates. This change in the risk-free rate comes with challenges of how the new rates will be modelled and how the products will be priced. In this dissertation, we look to explore the classical short-rates and the new generalized Forward Market Model proposed by Andrei Lyanschenko and Fabio Mercurio in 2019. We seek to utilize this model in pricing interest rate derivatives such as caps and swaptions.