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Historically implied swaption skews using non-parametric methods
This dissertation aims to derive historically realised volatilities for swaptions of a long-term nature within the South African market, which is illiquid and over-the- counter. To achieve this the dissertation adopts and constructs non-parametric methods which only make use of historical realised d...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2017
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