Pricing Interest Rate Derivatives Using The Forward Market Model
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Date
2024-10
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University of the Witwatersrand, Johannesburg
Abstract
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.
Description
A dissertation submitted in fulfillment for the Degree of Master of Science, School of Computer Science and Applied Mathematics, University of the Witwatersrand, Johannesburg, 2024.
Keywords
Forward-Looking rate, Backward-Looking rate, Generalized Forward Market Model, LIBOR rate, Overnight rates, Extended Zero-coupon bonds, UCTD
Citation
Konaite, Tshana Tumelo. (2024). Pricing Interest Rate Derivatives Using The Forward Market Model. [Master's dissertation, University of the Witwatersrand, Johannesburg]. WIReDSpace. https://hdl.handle.net/10539/45488