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
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/96965 |
| Date | 03 1900 |
| Creators | Mbongo Nkounga, Jeffrey Ted Johnattan |
| Contributors | Becker, R., Stellenbosch University. Faculty of Science. Department of Mathematical Sciences. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | English |
| Type | Thesis |
| Format | x, 138 pages : illustrations |
| Rights | Stellenbosch University |
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