Pricing Interest Rate Derivatives Using The Forward Market Model

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dc.contributor.authorKonaite, Tshana Tumelo
dc.contributor.supervisorMudavanhu, Blessing
dc.date.accessioned2025-07-15T14:27:03Z
dc.date.issued2024-10
dc.descriptionA dissertation submitted in fulfillment for the Degree of Master of Science, School of Computer Science and Applied Mathematics, University of the Witwatersrand, Johannesburg, 2024.
dc.description.abstractThe 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.
dc.description.submitterMMM2025
dc.facultyFaculty of Science
dc.identifier0000-0002-5116-2187
dc.identifier.citationKonaite, 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
dc.identifier.urihttps://hdl.handle.net/10539/45488
dc.language.isoen
dc.publisherUniversity of the Witwatersrand, Johannesburg
dc.rights©2024 University of the Witwatersrand, Johannesburg. All rights reserved. The copyright in this work vests in the University of the Witwatersrand, Johannesburg. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of University of the Witwatersrand, Johannesburg.
dc.rights.holderUniversity of the Witwatersrand, Johannesburg
dc.schoolSchool of Computer Science and Applied Mathematics
dc.subjectForward-Looking rate
dc.subjectBackward-Looking rate
dc.subjectGeneralized Forward Market Model
dc.subjectLIBOR rate
dc.subjectOvernight rates
dc.subjectExtended Zero-coupon bonds
dc.subjectUCTD
dc.subject.primarysdgSDG-8: Decent work and economic growth
dc.subject.secondarysdgSDG-4: Quality education
dc.titlePricing Interest Rate Derivatives Using The Forward Market Model
dc.typeDissertation

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