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Due to the interesting financial moment we are living, my motivations to write this Master thesis has mostly been the behavior of interest rates and models that can be used predict them. Thus, in this dissertation I have presented theHull-White model and the way to calibrate it against market data so it can be used to price interest rate derivatives. The reader can find both theoretical and practical presentations and examples along with the code to program them byhim/herself.

The purpose of this paper is to create an easily understandable version of the Ho-Lee interest rate model. The first part analyzes the model in detail, and the second part calibrates it to demonstrate how it can be applied to real market data.

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / abstract / Economics and Finance / Doctoral / Doctor of Philosophy

This paper studies the differences in the real estate markets of Los Angeles County and New York County in order to understand what variables contribute most to their growth by using national and local data from the period between 1987 and 2012. I conduct two separate multiple regressions to show that local variables tend to have a bigger impact on real estate growth than national variables. I also find that there is a significant difference between most of the variables depending on location. Overall, it is found that over fifty percent of the observed variables contribute to real estate growth in LA County. However, two thirds of the observed variables lead to real estate market decline in NY County. These findings show that NY County does not see as much growth as LA County.

This work focuses on the factors influencing the accessibility of credit lines for the companies in the Czech Republic. Its methodology follows the respected works written in the field of credit markets or in the field of econometrical methods suitable for the estimation of such markets. The main econometrical tool of this work is the Maximum Likelihood Estimation. Dependent variable is always the percentage change of the total volume of corporate loans and the independent variables are the percentage changes of different macroeconomic indicators. This work brings key findings important for the understanding the of the Czech corporate credit market. JEL Classification C32, C51, E40, E41, G10, G20, G21 Keywords Corporate Loans, Credit, Credit Lines, Credit Market, Credit Supply, Czech Banking Sector, Demand for Credit, Loans Author's e-mail pavelhanak@seznam.cz Supervisor's e-mail petr.gapko@seznam.cz

A dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, in fulfilment of the requirements for the degree of Master of Science. Johannesburg, 2014. / The period between 2008 and 2009 was an interesting and dramatic time for financial markets. This period marked the beginning of the financial tsunami that would plague global markets for many years to come. This economic meltdown had massive effects on many everyday issues such as house prices, interest rates and inflation. Investment banks were also affected with numerous investment banks either defaulting or being taken over by the U.S. Federal Reserve to avoid default. This group of investment banks include names such as Lehman Brothers, Bear Sterns, Fannie Mae, Freddy Mac and many more. The myth of “too big to fail” was tested and failed because of the number of banks that were allowed to default during the crisis. Many things have changed because of the crisis. One area in finance that has changed is the pricing of financial derivatives. The realisation that huge investment banks can default has dried up the liquidity in capital markets. Therefore banks cannot borrow a shortfall of cash at a risk-free rate anymore but rather at a significant spread over the risk-free rate. The risk-free rate is a core concept of derivative pricing. If investment banks cannot borrow and lend at the risk-free rate then the Black-Sholes-Merton theory laid down in the 1970’s may not be applicable post the credit crisis. The aim of this dissertation is to review the framework of Piterbarg, Burgard and Kjaer to price a general derivative post the credit crisis. This review includes a variety of numerical methods to implement the framework.

Thesis (M.Com.(Finance)--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2016. / This study sets out to investigate whether the Taylor Rule provides better the forecasts of the future short-term interest rates than the yield curve in the South African market. For the Taylor Rule we use OLS and use the open-market forward-looking Taylor Rule to forecast interest rates. For the yield curve, simple linear interpolation is used to derive forecast. We find that in the short term, forecasted one-month ahead interest rates closely track the actuals interest rates for both models. At longer horizons, there are larger deviations of forecasts from the actual. The RMSE analyses support the Taylor Rule as a superior forecasting model in all forecasting horizons. / MT2017