Konaite, Tshana Tumelo2025-07-152024-10Konaite, 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/10539/45488https://hdl.handle.net/10539/45488A dissertation submitted in fulfillment for the Degree of Master of Science, School of Computer Science and Applied Mathematics, University of the Witwatersrand, Johannesburg, 2024.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.en©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.Forward-Looking rateBackward-Looking rateGeneralized Forward Market ModelLIBOR rateOvernight ratesExtended Zero-coupon bondsUCTDDissertationUniversity of the Witwatersrand, JohannesburgSDG-8: Decent work and economic growthSDG-4: Quality education