Building Interest Rate Curves and SABR Model Calibration

Building Interest Rate Curves and SABR Model Calibration

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...

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Bibliographic Details
Main Author: Mbongo Nkounga, Jeffrey Ted Johnattan
Other Authors: Becker, R.
Format: Others
Language:en_ZA
Published: Stellenbosch : Stellenbosch University 2015
Subjects:
Pre-credit crunch
Interest rate
SABR model
UCTD
Interest rates > Mathematical models
Finance > Mathematical models
Online Access:http://hdl.handle.net/10019.1/96965

Internet

http://hdl.handle.net/10019.1/96965

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