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The Libor market model and its calibration to the South African market
Dissertation (MSc)--University of Pretoria, 2012.
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| Format: | Thesis |
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University of Pretoria
2013
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| _version_ | 1867613661367894016 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2011, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria |
| description | Dissertation (MSc)--University of Pretoria, 2012. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/25905 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:39:41.715Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/25905 The Libor market model and its calibration to the South African market Mare, Eben kepler.klynsmith@absacapital.com Klynsmith, Kepler Vincent Calibration Libor market South african market UCTD Dissertation (MSc)--University of Pretoria, 2012. The South African interest rate market has mainly been focused on vanilla interest rate products and hence can be seen as underdeveloped in this regard when compared, for instance, to the associated equity market. Market participants subscribe this aspect to a lack of demand and sophistication of investors within the market. This is, however, expected to change given the influx of international banks into the South African market over the past couple of years. The current market methodology, for the pricing of vanilla interest rate options in the South African market, is the standard Black model with some mechanism to incorporate interest rate smiles. This mechanism is typically in the form of the SABR model. The most signi cant drawback of this approach is the fact that it models each forward rate in isolation. Hence, there is no way to incorporate the joint dynamics between different forward rates and consequently cannot be used for the pricing of exotic interest rate options. In anticipation of these new market developments, we explore the possibility of calibrating the LIBOR market model to the South African market. This dissertation follows a bottom up approach and hence considers all aspects associated with such an implementation. The work mainly focuses on the calibration to at-the-money interest rate options. A possible extension to the SABR model, while remaining within the LMM framework, is considered in the final chapter. Copyright Mathematics and Applied Mathematics unrestricted 2013-09-07T01:14:22Z 2012-07-03 2013-09-07T01:14:22Z 2012-04-13 2012-07-03 2012-06-27 Dissertation Klynsmith, KV 2011, The Libor market model and its calibration to the South African market, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/25905 > E12/4/476/gm http://hdl.handle.net/2263/25905 http://upetd.up.ac.za/thesis/available/etd-06272012-122904/ © 2011, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria application/pdf University of Pretoria |
| spellingShingle | Calibration Libor market South african market UCTD The Libor market model and its calibration to the South African market |
| title | The Libor market model and its calibration to the South African market |
| title_full | The Libor market model and its calibration to the South African market |
| title_fullStr | The Libor market model and its calibration to the South African market |
| title_full_unstemmed | The Libor market model and its calibration to the South African market |
| title_short | The Libor market model and its calibration to the South African market |
| title_sort | libor market model and its calibration to the south african market |
| topic | Calibration Libor market South african market UCTD |
| url | http://hdl.handle.net/2263/25905 http://upetd.up.ac.za/thesis/available/etd-06272012-122904/ |