Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Building Interest Rate Curves and SABR Model Calibration
Thesis (MSc)--Stellenbosch University
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | en_ZA |
| Published: |
Stellenbosch : Stellenbosch University
2015
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613902337998848 |
|---|---|
| access_status_str | Open Access |
| author | Mbongo Nkounga, Jeffrey Ted Johnattan |
| author2 | Becker, Ronald I. |
| author_browse | Becker, Ronald I. Mbongo Nkounga, Jeffrey Ted Johnattan |
| author_facet | Becker, Ronald I. Mbongo Nkounga, Jeffrey Ted Johnattan |
| author_sort | Mbongo Nkounga, Jeffrey Ted Johnattan |
| collection | Thesis |
| dc_rights_str_mv | Stellenbosch University |
| description | Thesis (MSc)--Stellenbosch University |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/96965 |
| institution | Stellenbosch University (South Africa) |
| language | en_ZA |
| last_indexed | 2026-06-10T12:43:31.605Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Stellenbosch : Stellenbosch University |
| publisherStr | Stellenbosch : Stellenbosch University |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/96965 Building Interest Rate Curves and SABR Model Calibration Mbongo Nkounga, Jeffrey Ted Johnattan Becker, Ronald I. Stellenbosch University. Faculty of Science. Department of Mathematical Sciences. Pre-credit crunch Interest rate SABR model UCTD Interest rates -- Mathematical models Finance -- Mathematical models Thesis (MSc)--Stellenbosch University ENGLISH 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 2015-05-20T09:28:46Z 2015-05-20T09:28:46Z 2015-03 Thesis http://hdl.handle.net/10019.1/96965 en_ZA Stellenbosch University x, 138 pages : illustrations application/pdf Stellenbosch : Stellenbosch University |
| spellingShingle | Pre-credit crunch Interest rate SABR model UCTD Interest rates -- Mathematical models Finance -- Mathematical models Mbongo Nkounga, Jeffrey Ted Johnattan Building Interest Rate Curves and SABR Model Calibration |
| title | Building Interest Rate Curves and SABR Model Calibration |
| title_full | Building Interest Rate Curves and SABR Model Calibration |
| title_fullStr | Building Interest Rate Curves and SABR Model Calibration |
| title_full_unstemmed | Building Interest Rate Curves and SABR Model Calibration |
| title_short | Building Interest Rate Curves and SABR Model Calibration |
| title_sort | building interest rate curves and sabr model calibration |
| topic | Pre-credit crunch Interest rate SABR model UCTD Interest rates -- Mathematical models Finance -- Mathematical models |
| url | http://hdl.handle.net/10019.1/96965 |
| work_keys_str_mv | AT mbongonkoungajeffreytedjohnattan buildinginterestratecurvesandsabrmodelcalibration |