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Hedging performance of interest-rate models
This dissertation is a hedging back-study which assesses the effectiveness of interest- rate modelling and the hedging of interest-rate derivatives. Caps that trade in the Johannesburg swap market are hedged using two short-rate models, namely the Hull and White (1990) one-factor model and the subse...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2016
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