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Interpolation of Forward Rates in the LIBOR Market Model
Since its development in 1997, the LIBOR market model has gained widespread use in interest rate modelling, largely owing to its consistency with the Black futures formula for pricing interest rate caps and floors. From its original construction(s), the LIBOR market model specifies a discrete set of...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2021
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| _version_ | 1867613162676682752 |
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| access_status_str | Open Access |
| author | Mbele, Buhlebezwe Bandile Sthombe |
| author2 | McWalter, Thomas |
| author_browse | Mbele, Buhlebezwe Bandile Sthombe McWalter, Thomas |
| author_facet | McWalter, Thomas Mbele, Buhlebezwe Bandile Sthombe |
| author_sort | Mbele, Buhlebezwe Bandile Sthombe |
| collection | Thesis |
| description | Since its development in 1997, the LIBOR market model has gained widespread use in interest rate modelling, largely owing to its consistency with the Black futures formula for pricing interest rate caps and floors. From its original construction(s), the LIBOR market model specifies a discrete set of forward rates that correspond to a fixed tenor structure, e.g. market tenors. This implies the pricing of interest rate contingent claims is restricted to claims with cashflow dates that coincide with the fixed tenor structure. In this light, several interpolation schemes have been suggested to handle the pricing restrictions, however at the cost of introducing possible arbitrage opportunities. The present dissertation studies four such interpolation schemes, paying particular attention to arbitrage-free interpolation schemes: Piterbarg deterministic interpolation, Schlogl deterministic interpolation, Schlogl stochastic interpolation, and Beveridge-Joshi stochastic interpolation. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/32836 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:45.395Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | African Institute of Financial Markets and Risk Management |
| publisherStr | African Institute of Financial Markets and Risk Management |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/32836 Interpolation of Forward Rates in the LIBOR Market Model Mbele, Buhlebezwe Bandile Sthombe McWalter, Thomas Mathematical Finance Since its development in 1997, the LIBOR market model has gained widespread use in interest rate modelling, largely owing to its consistency with the Black futures formula for pricing interest rate caps and floors. From its original construction(s), the LIBOR market model specifies a discrete set of forward rates that correspond to a fixed tenor structure, e.g. market tenors. This implies the pricing of interest rate contingent claims is restricted to claims with cashflow dates that coincide with the fixed tenor structure. In this light, several interpolation schemes have been suggested to handle the pricing restrictions, however at the cost of introducing possible arbitrage opportunities. The present dissertation studies four such interpolation schemes, paying particular attention to arbitrage-free interpolation schemes: Piterbarg deterministic interpolation, Schlogl deterministic interpolation, Schlogl stochastic interpolation, and Beveridge-Joshi stochastic interpolation. 2021-02-12T12:00:14Z 2021-02-12T12:00:14Z 2020 2021-02-12T05:36:00Z Master Thesis Masters MPhil http://hdl.handle.net/11427/32836 eng application/pdf African Institute of Financial Markets and Risk Management Faculty of Commerce |
| spellingShingle | Mathematical Finance Mbele, Buhlebezwe Bandile Sthombe Interpolation of Forward Rates in the LIBOR Market Model |
| thesis_degree_str | Master's |
| title | Interpolation of Forward Rates in the LIBOR Market Model |
| title_full | Interpolation of Forward Rates in the LIBOR Market Model |
| title_fullStr | Interpolation of Forward Rates in the LIBOR Market Model |
| title_full_unstemmed | Interpolation of Forward Rates in the LIBOR Market Model |
| title_short | Interpolation of Forward Rates in the LIBOR Market Model |
| title_sort | interpolation of forward rates in the libor market model |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/32836 |
| work_keys_str_mv | AT mbelebuhlebezwebandilesthombe interpolationofforwardratesinthelibormarketmodel |