Dissertations / Theses on the topic 'Interest rate models – Mathematical models'
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Ziervogel, Graham. "Hedging performance of interest-rate models." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20482.
Full textMbongo, Nkounga Jeffrey Ted Johnattan. "Building Interest Rate Curves and SABR Model Calibration." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96965.
Full textENGLISH ABSTRACT : In this thesis, we first review the traditional pre-credit crunch approach that considers a single curve to consistently price all instruments. We review the theoretical pricing framework and introduce pricing formulas for plain vanilla interest rate derivatives. We then review the curve construction methodologies (bootstrapping and global methods) to build an interest rate curve using the instruments described previously as inputs. Second, we extend this work in the modern post-credit framework. Third, we review the calibration of the SABR model. Finally we present applications that use interest rate curves and SABR model: stripping implied volatilities, transforming the market observed smile (given quotes for standard tenors) to non-standard tenors (or inversely) and calibrating the market volatility smile coherently with the new market evidences.
AFRIKAANSE OPSOMMING : Geen Afrikaanse opsomming geskikbaar nie
Luo, Xingguo, and 骆兴国. "Two essays on interest rate and volatility term structures." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B44921251.
Full textO???Brien, Peter Banking & Finance Australian School of Business UNSW. "Term structure modelling and the dynamics of Australian interest rates." Awarded by:University of New South Wales. School of Banking and Finance, 2006. http://handle.unsw.edu.au/1959.4/28283.
Full textZhang, Hua 1962. "The dynamic behaviour of the term structure of interest rates and its implication for interest-rate sensitive asset pricing." Thesis, McGill University, 1993. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=41168.
Full textEzzine, Ahmed. "Some topics in mathematical finance. Non-affine stochastic volatility jump diffusion models. Stochastic interest rate VaR models." Doctoral thesis, Universite Libre de Bruxelles, 2004. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211156.
Full textTsujimoto, Tsunehiro. "Calibration of the chaotic interest rate model." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/2568.
Full textMutengwa, 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.
Full textAlfeus, Mesias. "Heath–Jarrow–Morton models with jumps." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96783.
Full textENGLISH ABSTRACT : The standard-Heath–Jarrow–Morton (HJM) framework is well-known for its application to pricing and hedging interest rate derivatives. This study implemented the extended HJM framework introduced by Eberlein and Raible (1999), in which a Brownian motion (BM) is replaced by a wide class of processes with jumps. In particular, the HJM driven by the generalised hyperbolic processes was studied. This approach was motivated by empirical evidence proving that models driven by a Brownian motion have several shortcomings, such as inability to incorporate jumps and leptokurticity into the price dynamics. Non-homogeneous Lévy processes and the change of measure techniques necessary for simplification and derivation of pricing formulae were also investigated. For robustness in numerical valuation, several transform methods were investigated and compared in terms of speed and accuracy. The models were calibrated to liquid South African data (ATM) interest rate caps using two methods of optimisation, namely the simulated annealing and secant-Levenberg–Marquardt methods. Two numerical valuation approaches had been implemented in this study, the COS method and the fractional fast Fourier transform (FrFT), and were compared to the existing methods in the context. Our numerical results showed that these two methods are quite efficient and very competitive. We have chose the COS method for calibration due to its rapidly speed and we have suggested a suitable approach for truncating the integration range to address the problems it has with short-maturity options. Our calibration results provided a nearly perfect fit, such that it was difficult to decide which model has a better fit to the current market state. Finally, all the implementations were done in MATLAB and the codes included in appendices.
AFRIKAANSE OPSOMMING : Die standaard-Heath–Jarrow–Morton-raamwerk (kortom die HJM-raamwerk) is daarvoor bekend dat dit op die prysbepaling en verskansing van afgeleide finansiële instrumente vir rentekoerse toegepas kan word. Hierdie studie het die uitgebreide HJM-raamwerk geïmplementeer wat deur Eberlein en Raible (1999) bekendgestel is en waarin ’n Brown-beweging deur ’n breë klas prosesse met spronge vervang word. In die besonder is die HJM wat deur veralgemeende hiperboliese prosesse gedryf word ondersoek. Hierdie benadering is gemotiveer deur empiriese bewyse dat modelle wat deur ’n Brown-beweging gedryf word verskeie tekortkominge het, soos die onvermoë om spronge en leptokurtose in prysdinamika te inkorporeer. Nie-homogene Lévy-prosesse en die maatveranderingstegnieke wat vir die vereenvoudiging en afleiding van prysbepalingsformules nodig is, is ook ondersoek. Vir robuustheid in numeriese waardasie is verskeie transformmetodes ondersoek en ten opsigte van spoed en akkuraatheid vergelyk. Die modelle is vir likiede Suid-Afrikaanse data vir boperke van rentekoerse sonder intrinsieke waarde gekalibreer deur twee optimiseringsmetodes te gebruik, naamlik die gesimuleerde uitgloeimetode en die sekans-Levenberg–Marquardt-metode. Twee benaderings tot numeriese waardasie is in hierdie studie gebruik, naamlik die kosinusmetode en die fraksionele vinnige Fourier-transform, en met bestaande metodes in die konteks vergelyk. Die numeriese resultate het getoon dat hierdie twee metodes redelik doeltreffend en uiters mededingend is. Ons het op grond van die motiveringspoed van die kosinus-metode daardie metode vir kalibrering gekies en ’n geskikte benadering tot die trunkering van die integrasiereeks voorgestel ten einde die probleem ten opsigte van opsies met kort uitkeringstermyne op te los. Die kalibreringsresultate het ’n byna perfekte passing gelewer, sodat dit moeilik was om te besluit watter model die huidige marksituasie die beste pas. Ten slotte is alle implementerings in MATLAB gedoen en die kodes in bylaes ingesluit.
Nguyen, Hai Nam. "Contributions to credit risk and interest rate modeling." Thesis, Evry-Val d'Essonne, 2014. http://www.theses.fr/2013EVRY0038.
Full textThis thesis deals with several topics in mathematical finance: credit risk, portfolio optimization and interest rate modeling. Chapter 1 consists of three studies in the field of credit risk. The most innovative is the first one, where we construct a model such that the immersion property does not hold under any equivalent martingale measure. Chapter 2 studies the problem of maximization of the sum of the utility of the terminal wealth and the utility of the consumption, in a case where a sudden jump in the risk-free interest rate induces market incompleteness. Chapter 3 studies the valuation of Libor interest rate derivatives in a multiple-curve setup, which accounts for the spreads between a risk-free discount curve and Libor curves of different tenors
周抒思 and Shu-see Chow. "Intrinsic demands for borrowing and lending in primitive population models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31212219.
Full textYe, Hui, and Anastasia Ellanskaya. "Arbitrage-free market models for interest rate options and future options: the multi-strike case." Thesis, Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-6220.
Full textThafeni, Phumza. "A no-arbitrage macro finance approach to the term structure of interest rates." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96108.
Full textENGLISH ABSTRACT: This work analysis the main macro-finance models of the term structure of interest rates that determines the joint dynamics of the term structure and the macroeconomic fundamentals under no-arbitrage approach. There has been a long search during the past decades of trying to study the relationship between the term structure of interest rates and the economy, to the extent that much of recent research has combined elements of finance, monetary economics, and the macroeconomics to analyse the term structure. The central interest of the thesis is based on two important notions. Firstly, it is picking up from the important work of Ang and Piazzesi (2003) model who suggested a joint macro- finance strategy in a discrete time affine setting, by also imposing the classical Taylor (1993) rule to determine the association between yields and macroeconomic variables through monetary policy. There is a strong intuition from the Taylor rule literature that suggests that such macroeconomic variables as in inflation and real activity should matter for the interest rate, which is the monetary policy instrument. Since from this important framework, no-arbitrage macro-finance approach to the term structure of interest rates has become an active field of cross-disciplinary research between financial economics and macroeconomics. Secondly, the importance of forecasting the yield curve using the variations on the Nelson and Siegel (1987) exponential components framework to capture the dynamics of the entire yield curve into three dimensional parameters evolving dynamically. Nelson-Siegel approach is a convenient and parsimonious approximation method which has been trusted to work best for fitting and forecasting the yield curve. The work that has caught quite much of interest under this framework is the generalized arbitrage-free Nelson-Siegel macro- nance term structure model with macroeconomic fundamentals, (Li et al. (2012)), that characterises the joint dynamic interaction between yields and the macroeconomy and the dynamic relationship between bond risk-premia and the economy. According to Li et al. (2012), risk-premia is found to be closely linked to macroeconomic activities and its variations can be analysed. The approach improves the estimation and the challenges on identication of risk parameters that has been faced in recent macro-finance literature.
AFRIKAANSE OPSOMMING: Hierdie werk ontleed die makro- nansiese modelle van die term struktuur van rentekoers pryse wat die gesamentlike dinamika bepaal van die term struktuur en die makroekonomiese fundamentele faktore in 'n geen arbitrage wêreld. Daar was 'n lang gesoek in afgelope dekades gewees wat probeer om die verhouding tussen die term struktuur van rentekoerse en die ekonomie te bestudeer, tot die gevolg dat baie onlangse navorsing elemente van nansies, monetêre ekonomie en die makroekonomie gekombineer het om die term struktuur te analiseer. Die sentrale belang van hierdie proefskrif is gebaseer op twee belangrike begrippe. Eerstens, dit tel op by die belangrike werk van die Ang and Piazzesi (2003) model wat 'n gesamentlike makro- nansiering strategie voorstel in 'n diskrete tyd a ene ligging, deur ook die klassieke Taylor (1993) reël om assosiasie te bepaal tussen opbrengste en makroekonomiese veranderlikes deur middel van monetêre beleid te imposeer. Daar is 'n sterk aanvoeling van die Taylor reël literatuur wat daarop dui dat sodanige makroekonomiese veranderlikes soos in asie en die werklike aktiwiteit moet saak maak vir die rentekoers, wat die monetêre beleid instrument is. Sedert hierdie belangrike raamwerk, het geen-arbitrage makro- nansies benadering tot term struktuur van rentekoerse 'n aktiewe gebied van kruis-dissiplinêre navorsing tussen nansiële ekonomie en makroekonomie geword. Tweedens, die belangrikheid van voorspelling van opbrengskromme met behulp van variasies op die Nelson and Siegel (1987) eksponensiële komponente raamwerk om dinamika van die hele opbrengskromme te vang in drie dimensionele parameters wat dinamies ontwikkel. Die Nelson-Siegel benadering is 'n gerie ike en spaarsamige benaderingsmetode wat reeds vertrou word om die beste pas te bewerkstellig en voorspelling van die opbrengskromme. Die werk wat nogal baie belangstelling ontvang het onder hierdie raamwerk is die algemene arbitrage-vrye Nelson-Siegel makro- nansiele term struktuur model met makroekonomiese grondbeginsels, (Li et al. (2012)), wat kenmerkend van die gesamentlike dinamiese interaksie tussen die opbrengs en die makroekonomie en die dinamiese verhouding tussen band risiko-premies en die ekonomie is. Volgens Li et al. (2012), word risiko-premies bevind om nou gekoppel te wees aan makroekonomiese aktiwiteite en wat se variasies ontleed kan word. Die benadering verbeter die skatting en die uitdagings van identi- sering van risiko parameters wat teegekom is in die afgelope makro- nansiese literatuur.
Van, Wijck Tjaart. "Interest rate model theory with reference to the South African market." Thesis, Stellenbosch : University of Stellenbosch, 2006. http://hdl.handle.net/10019.1/3396.
Full textAn overview of modern and historical interest rate model theory is given with the specific aim of derivative pricing. A variety of stochastic interest rate models are discussed within a South African market context. The various models are compared with respect to characteristics such as mean reversion, positivity of interest rates, the volatility structures they can represent, the yield curve shapes they can represent and weather analytical bond and derivative prices can be found. The distribution of the interest rates implied by some of these models is also found under various measures. The calibration of these models also receives attention with respect to instruments available in the South African market. Problems associated with the calibration of the modern models are also discussed.
Rayée, Grégory. "Essays on pricing derivatives by taking into account volatility and interest rates risks." Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209649.
Full textDans le Chapitre 2 de la thèse nous allons développer un modèle qui compte de la volatilité implicite du marché et de la variabilité des taux d'intérêts. Nous travaillons dans le marché particulier des taux de changes, avec un modèle à volatilité locale pour la dynamique du taux de change dans lequel les taux d'intérêts domestiques et étrangers sont également supposé stochastiques. Nous dérivons l'expression de la volatilité locale et dérivons divers résultats particulièrement utiles pour la calibration du modèle. Finalement, nous développons un nouveau modèle hybride où la volatilité du taux de change possède une composante locale et une composante stochastique et nous dérivons une méthode de calibration pour ce nouveau modèle.
Dans le Chapitre 3, nous allons appliquer le modèle à volatilité locale et taux d'intérêts stochastiques développé dans le précédent chapitre mais dans le cadre d'évaluation de produits dérivés associés aux assurances vie. Nous utilisons une méthode de calibration développée dans le Chapitre 2. Les produits étudiés étant exotiques, nous allons également comparer les prix obtenus dans différents modèles, à savoir le modèle à volatilité locale, à volatilité stochastique et enfin à volatilité constante pour le sous-jacent, les trois modèles étant combinés avec des taux d'intérêts stochastiques.
Finalement, dans le Chapitre 4 nous allons travailler avec un modèle dit de Lévy pour modéliser le sous-jacent. Nous nous intéressons à l'évaluation d'options Asiatiques arithmétiques. Comme de nombreuses options exotiques, il n'est pas possible d'obtenir un prix analytique et dans ce cas seules les méthodes numériques permettent de résoudre le problème. Dans ce Chapitre 4, nous développons une méthode basée sur la méthode de simulations de Monte Carlo et nous employons deux types de variables de contrôle permettant d'améliorer la convergence du programme. Nous développons également une méthode permettant d'obtenir une borne inférieure au prix de l'option avec une efficacité qui surpasse les autres méthodes.
Doctorat en Sciences
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Aleksa, Algiment. "Palūkanų normų dinamikos modeliai." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2004. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2004~D_20040604_205640-67926.
Full textTwarog, Marek B. "Pricing security derivatives under the forward measure." Link to electronic thesis, 2007. http://www.wpi.edu/Pubs/ETD/Available/etd-053007-142223/.
Full textDiallo, Ibrahima. "Some topics in mathematical finance: Asian basket option pricing, Optimal investment strategies." Doctoral thesis, Universite Libre de Bruxelles, 2010. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210165.
Full textIn Chapter 2, we concentrate upon the derivation of bounds for European-style discrete arithmetic Asian basket options in a Black and Scholes framework.We start from methods used for basket options and Asian options. First, we use the general approach for deriving upper and lower bounds for stop-loss premia of sums of non-independent random variables as in Kaas et al. [Upper and lower bounds for sums of random variables, Insurance Math. Econom. 27 (2000) 151–168] or Dhaene et al. [The concept of comonotonicity in actuarial science and finance: theory, Insurance Math. Econom. 31(1) (2002) 3–33]. We generalize the methods in Deelstra et al. [Pricing of arithmetic basket options by conditioning, Insurance Math. Econom. 34 (2004) 55–57] and Vanmaele et al. [Bounds for the price of discrete sampled arithmetic Asian options, J. Comput. Appl. Math. 185(1) (2006) 51–90]. Afterwards we show how to derive an analytical closed-form expression for a lower bound in the non-comonotonic case. Finally, we derive upper bounds for Asian basket options by applying techniques as in Thompson [Fast narrow bounds on the value of Asian options, Working Paper, University of Cambridge, 1999] and Lord [Partially exact and bounded approximations for arithmetic Asian options, J. Comput. Finance 10 (2) (2006) 1–52]. Numerical results are included and on the basis of our numerical tests, we explain which method we recommend depending on moneyness and time-to-maturity
In Chapter 3, we propose some moment matching pricing methods for European-style discrete arithmetic Asian basket options in a Black & Scholes framework. We generalize the approach of Curran M. (1994) [Valuing Asian and portfolio by conditioning on the geometric mean price”, Management science, 40, 1705-1711] and of Deelstra G. Liinev J. and Vanmaele M. (2004) [Pricing of arithmetic basket options by conditioning”, Insurance: Mathematics & Economics] in several ways. We create a framework that allows for a whole class of conditioning random variables which are normally distributed. We moment match not only with a lognormal random variable but also with a log-extended-skew-normal random variable. We also improve the bounds of Deelstra G. Diallo I. and Vanmaele M. (2008). [Bounds for Asian basket options”, Journal of Computational and Applied Mathematics, 218, 215-228]. Numerical results are included and on the basis of our numerical tests, we explain which method we recommend depending on moneyness and
time-to-maturity.
In Chapter 4, we use the stochastic dynamic programming approach in order to extend
Brennan and Xia’s unconstrained optimal portfolio strategies by investigating the case in which interest rates and inflation rates follow affine dynamics which combine the model of Cox et al. (1985) [A Theory of the Term Structure of Interest Rates, Econometrica, 53(2), 385-408] and the model of Vasicek (1977) [An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177-188]. We first derive the nominal price of a zero coupon bond by using the evolution PDE which can be solved by reducing the problem to the solution of three ordinary differential equations (ODE). To solve the corresponding control problems we apply a verification theorem without the usual Lipschitz assumption given in Korn R. and Kraft H.(2001)[A Stochastic control approach to portfolio problems with stochastic interest rates, SIAM Journal on Control and Optimization, 40(4), 1250-1269] or Kraft(2004)[Optimal Portfolio with Stochastic Interest Rates and Defaultable Assets, Springer, Berlin].
Doctorat en Sciences
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Loulit, Ahmed. "Valuing credit risky bonds: generalizations of first passage models." Doctoral thesis, Universite Libre de Bruxelles, 2006. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210756.
Full textDoctorat en sciences de gestion
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Unal, Birol. "Interest rate term structure models." Thesis, Imperial College London, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.407078.
Full textSchumann, Gareth William. "Trolle-Schwartz HJM interest rate model." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/23030.
Full textTrovato, Manlio Battaglia. "Interest rate models with Markov chains." Thesis, Imperial College London, 2009. http://hdl.handle.net/10044/1/8805.
Full textHansen, Oyvind Grande. "Multifactor Interest Rate Models in Low-Rate Environments." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for fysikk, 2013. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-22624.
Full textVocke, Carsten. "Hedging with multi-factor interest rate models /." [St. Gallen] : [s.n.], 2005. http://www.gbv.de/dms/zbw/503121223.pdf.
Full textIqbal, Adam Saeed. "Dynamic interest rate and credit risk models." Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/6851.
Full textZhao, Huimin. "Testing interest rate models for China's repo market /." View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?FINA%202005%20ZHAO.
Full textPietersz, 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.
Full textSlinko, 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.
Full textKlaassen, Pieter. "Stochastic programming models for interest-rate risk management." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/11913.
Full textNyamai, 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.
Full textYolcu, Yeliz. "One Factor Interest Rate Models: Analytic Solutions And Approximations." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/2/12605863/index.pdf.
Full texts term structure. Moreover, a trinomial interest rate tree is constructed to represent the evolution of Turkey&rsquo
s zero coupon rates.
Ge, Zhong. "A numerical study of one-factor interest rate models." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp01/MQ34038.pdf.
Full textBi, Jiangchun. "Interest rate models with non-gaussian driven stochastic volatility." Thesis, Heriot-Watt University, 2009. http://hdl.handle.net/10399/2313.
Full textTan, David Kim Hong. "Mathematical models of rate control for communication networks." Thesis, University of Cambridge, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.624531.
Full textRahantamialisoa, Tahirivonizaka Fanirisoa Zazaravaka. "Interest rates market and models after the 2007 credit crunch." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/20413.
Full textENGLISH ABSTRACT: The interest rates market has changed dramatically since the 2007 credit crunch with the explosion of basis spreads between rates of different tenors and currencies. Consequently, the classical replication of FRA rates with spot LIBOR rates is no longer valid. Moreover, the 2007 credit crunch yields a separation between the curve used for discounting and the forward or projection curves that estimate all future cash-fl ows. Another impact of the credit crunch in risk management is that market participants have started to give more importance to the difference between collateralized and uncollateralized trades. Nowadays, the wide spread use of collateral, especially in swap contracts, has made the overnight index swap (OIS) rate the appropriate benchmark for discounting collateralized trades. Inspired by the seminal works of Mercurio (2010a,b), Kijima et al. (2008), Fujii et al. (2011), Bianchetti (2010b), with the contributions of other authors, and motivated by the evolution of the interest rates market and models, this thesis examines a new framework that uses multiple-curves to value interest rate derivatives which is compatible with the current market practice. Firstly, we discuss the roots of the 2007 credit crunch and its serious consequences for pricing interest rate derivatives. We underscore the necessity of a multiple-curve pricing framework for interest rate derivatives. This is followed by a discussion on the importance of collateralization and OIS discounting in pricing Over-The-Counter (OTC) derivatives. The central part of the thesis discusses the modern theoretical framework and the practical implementation of the multiple curve pricing method. We present a bootstrapping algorithm used to construct and fit the multiple-yield curves to market prices of plainvanilla contracts. Secondly, starting with the single-currency economy, the extended version of the LIBOR Market Model, developed by Mercurio (2010a,b), which proposes a joint model of FRA rates, implied forward rates and their corresponding spread is investigated. Analogously, the extended version of short-rate model in a multiple-curve setup and in the presence of basis spread, proposed by Kijima et al. (2008), is presented and discussed. This work provides a detailed analysis of these extensions and the corresponding closed formulae for liquid products such as caps and swaptions. Finally, in the multiple-currencies case, the HJM model with stochastic basis spreads, introduced by Fujii et al. (2011), consistent with the foreign exchange and cross-currency swaps markets that includes the effect of collateralization is examined thoroughly.
AFRIKAANSE OPSOMMING: Die rentekoers mark het dramaties verander sedert die 2007 krediet krisis met 'n ontplo ng van basisverspreidings tussen koerse van verskillende looptye ("tenor") en geldeenhede. As gevolg, is die klassieke replikasie van FRA koerse met LIBOR sigkoerse nie langer geldig nie. Verder het die 2007 kredietkrisis 'n skeiding veroorsaak tussen die kromme wat gebruik word vir diskontering en die voorwaardse of vooruitskattings krommes wat toekomstige kontantvloei voorspel. 'n Verdere impak van die kredietkrisis in risikobestuur is dat mark deelnemers begin het om meer klem te lê op verskille tussen aangevulde en onaangevulde handel. Deesdae, met die algemene gebruik van kollaterale sekuriteit, veral in ruiltransaksiekontrakte, is die oornagse indeks ruiltransaksie (overnight index swap, OIS) koers die geskikte maatstaf om aangevulde handel te diskonteer. Geïnspireer deur die gedagteryke werk van Mercurio (2010a,b), Kijima et al. (2008), Fujii et al. (2011), Bianchetti (2010b), met bydrae van menige outeurs, en gemotiveer deur die evolusie van die rentekoers markte en modelle, ondersoek hierdie tesis 'n nuwe raamwerk wat multikrommes gebruik om rentekoers afgeleide effekte te waardeer wat versoenbaar is met die lopende mark praktyk. Eerstens, bespreek ons die oorsake van die 2007 kredietkrisis en die ernstige nagevolge vir die waardering van rentekoers afgeleide effekte. Ons beklemtoon die noodsaaklikheid van 'n multikromme waarderings raamwerk vir rentekoers afgeleide effekte. Dit word gevolg deur 'n bespreking oor die belangrikheid van aanvulling en OIS diskontering in die waardering van oor-die-toonbank (over-the-counter, OTC) effekte. Die teoretiese raamwerk en die praktiese implimentering van die multikromme waarderings metode word bespreek. Ons stel ook ten toon 'n skoenlus ("bootstrapping") algoritme wat gebruik kan word om meervoudige opbrengs krommes saam te stel en die dan te pas op mark pryse van vanielje kontrakte. Tweedens, met 'n enkel geldeenheid ekonomie as beginpunt, word die uitgebreide weergawe van die LIBOR Mark Model (ontwikkel deur Mercurio (2010a,b), wat 'n gesamentlike model van FRA koerse voorstel), geïmpliseerde termyn koerse en hul ooreenstemmende verspreiding bestudeer. Ooreenkomstig word die uitgebreide weergawe van die kort koers model in 'n multikromme opset en in die aanwesigheid van basisspreiding (voorgestel deur Kijima et al. (2008)) uiteengesit en bespreek. Hierdie werk verskaf 'n uitvoerige analise van hierdie uitbreidings en die ooreenstemmende geslote formules vir vloeibare produkte soos perke en ruiltransaksie opsies. Ten slotte, in die multi-geldeenheid geval, word die HJM model met stogastiese basisverspreiding (voorgestel deur Fujii et al. (2011)), nie-strydig met buitelandse valuta en kruisvaluta ruiltransaksie markte wat die effekte van aanvulling insluit word deuglik bestudeer.
Al-Zoubi, Haitham. "New Evidence on Interest Rate and Foreign Exchange Rate Modeling." ScholarWorks@UNO, 2003. http://scholarworks.uno.edu/td/467.
Full textFrota, Silvia Franciele Padilha. "Um estudo da estrutura a termo de taxas de juros de títulos públicos prefixados e o modelo de Svensson." Universidade Tecnológica Federal do Paraná, 2017. http://repositorio.utfpr.edu.br/jspui/handle/1/2576.
Full textThe Term Structure of Interest Rates (TSIR) is an essential element for the formulation of monetary policy. It is able to indicate the expectations of the financial market in relation to future interest rates. In this work we study the formation of TSIR with a greater focus on the mathematics involved, since in the literature this subject is generally treated only with a focus on economics. We prove the mathematical relation between spot, future and instantaneous interest rates. We also study the empirical mathematical model of forecasting the interest curve proposed by Lars E. O. Svensson (SVENSSON, 1994). This model is easy to apply since it requires few parameters to adjust the interest curve. For this reason, this model has been widely used by Central Banks of several countries, including the Central Bank of Brazil. We conclude with an application of the Svensson (SVENSSON, 1994) model using the prices of fixed-rate Treasury Direct securities.
Gathy, Maude. "On some damage processes in risk and epidemic theories." Doctoral thesis, Universite Libre de Bruxelles, 2010. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210063.
Full textEn théorie du risque, le processus de détérioration étudié est celui des sinistres supportés par une compagnie d'assurance.
Le premier chapitre examine la distribution de Markov-Polya comme loi possible pour modéliser le nombre de sinistres et établit certains liens avec la famille de lois de Katz/Panjer. Nous construisons la loi de Markov-Polya sur base d'un modèle de survenance des sinistres et nous montrons qu'elle satisfait une récurrence élégante. Celle-ci permet notamment de déduire un algorithme efficace pour la loi composée correspondante. Nous déduisons la famille de Katz/Panjer comme famille limite de la loi de Markov-Polya.
Le second chapitre traite de la famille dite "Lagrangian Katz" qui étend celle de Katz/Panjer. Nous motivons par un problème de premier passage son utilisation comme loi du nombre de sinistres. Nous caractérisons toutes les lois qui en font partie et nous déduisons un algorithme efficace pour la loi composée. Nous examinons également son indice de dispersion ainsi que son comportement asymptotique.
Dans le troisième chapitre, nous étudions la probabilité de ruine sur horizon fini dans un modèle discret avec taux d'intérêt positifs. Nous déterminons un algorithme ainsi que différentes bornes pour cette probabilité. Une borne particulière nous permet de construire deux mesures de risque. Nous examinons également la possibilité de faire appel à de la réassurance proportionelle avec des niveaux de rétention égaux ou différents sur les périodes successives.
Dans le cadre de processus épidémiques, la détérioration étudiée consiste en la propagation d'une maladie de type SIE (susceptible - infecté - éliminé). La manière dont un infecté contamine les susceptibles est décrite par des distributions de survie particulières. Nous en déduisons la distribution du nombre total de personnes infectées à la fin de l'épidémie. Nous examinons en détails les épidémies dites de type Markov-Polya et hypergéométrique. Nous approximons ensuite cette loi par un processus de branchement. Nous étudions également un processus de détérioration similaire en théorie de la fiabilité où le processus de détérioration consiste en la propagation de pannes en cascade dans un système de composantes interconnectées.
Doctorat en Sciences
info:eu-repo/semantics/nonPublished
Kim, Myung Suk. "Statistical testing and estimation in continuous time interest rate models." Diss., Texas A&M University, 2005. http://hdl.handle.net/1969.1/4189.
Full textPang, Kin. "Calibration of interest rate term structure and derivative pricing models." Thesis, University of Warwick, 1997. http://wrap.warwick.ac.uk/36270/.
Full textParker, Gary. "An application of stochastic interest rate models in life assurance." Thesis, Heriot-Watt University, 1992. http://hdl.handle.net/10399/1440.
Full textZhang, Jiangxingyun. "International Portfolio Theory-based Interest Rate Models and EMU Crisis." Thesis, Rennes 1, 2017. http://www.theses.fr/2017REN1G011/document.
Full textThis thesis examines the specific role of volatility risks and co-volatility in the formation of long-term interest rates in the euro area. In particular, a two-country theoretical portfolio choice model is proposed to evaluate the volatility risk premia and their contribution to the contagion and flight to quality processes. This model also provides an opportunity to analyze the ECB's role of asset purchases (QE) on the equilibrium of bond markets. Our empirical tests suggest that the ECB's QE programs from March 2015 have accelerated the "defragmentation" of the euro zone bond markets
Roussellet, Guillaume. "Non-Negativity, Zero Lower Bound and Affine Interest Rate Models." Thesis, Paris 9, 2015. http://www.theses.fr/2015PA090012/document.
Full textThis thesis presents new developments in the literature of non-negative affine interest rate models. The first chapter is devoted to the introduction of the main mathematical tools used in the following chapters. In particular, it presents the so-called affine processes which are extensively employed in no-arbitrage interest rate models. Chapter 2 provides a new filtering and estimation method for linear-quadratic state-space models. This technique is exploited in the 3rd chapter to estimate a positive asset pricing model on the term structure of Euro area interbank spreads. This allows us to decompose the interbank risk into a default risk and a liquidity risk components. Chapter 4 proposes a new recursive method for building general multivariate affine processes from their univariate counterparts. In particular, our method does not impose the conditional independence between the different vector elements. We apply this technique in Chapter 5 to produce multivariate non-negative affine processes where some components can stay at zero for several periods. This process is exploited to build a term structure model consistent with the zero lower bound features
Mamon, Rogemar S. "Market models of interest rate dynamics with a joint short rate/HJM approach." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0011/NQ59628.pdf.
Full textYueh, Meng-Lan. "Numerical lattice methods for implementing interest rate and credit risk models." Thesis, University of Warwick, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.252479.
Full textRinaz, Sofiane. "Positive interest rate models with sticky barrier for the Japanese market." Kyoto University, 2006. http://hdl.handle.net/2433/143926.
Full text0048
新制・課程博士
博士(経済学)
甲第12043号
経博第244号
新制||経||209(附属図書館)
23879
UT51-2006-J38
京都大学大学院経済学研究科経済動態分析専攻
(主査)教授 木島 正明, 教授 森棟 公夫, 助教授 島本 哲朗
学位規則第4条第1項該当
Hadjipetri, Stala. "Coherent chaos interest rate models and the Wick calculus in finance." Thesis, Imperial College London, 2014. http://hdl.handle.net/10044/1/25098.
Full textCorr, Anthony School of Mathematics UNSW. "Finite dimensional representability of forward rate and LIBOR models." Awarded by:University of New South Wales. School of Mathematics, 2000. http://handle.unsw.edu.au/1959.4/17606.
Full textElhouar, Mikael. "Essays on interest rate theory." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-451.
Full textLiu, Kit-ying Ida, and 廖潔瑩. "Empirical exchange rate models: out-of-sampleforecasts for the HK$/Yen exchange rate." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1997. http://hub.hku.hk/bib/B3195456X.
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