Building Interest Rate Curves and SABR Model Calibration

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dc.contributor.advisorBecker, Ronald I.en_ZA
dc.contributor.authorMbongo Nkounga, Jeffrey Ted Johnattanen_ZA
dc.contributor.otherStellenbosch University. Faculty of Science. Department of Mathematical Sciences.en_ZA
dc.date.accessioned2015-05-20T09:28:46Z
dc.date.available2015-05-20T09:28:46Z
dc.date.issued2015-03en_ZA
dc.descriptionThesis (MSc)--Stellenbosch Universityen_ZA
dc.description.abstractENGLISH 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.en_ZA
dc.description.abstractAFRIKAANSE OPSOMMING : Geen Afrikaanse opsomming geskikbaar nieaf_ZA
dc.format.extentx, 138 pages : illustrationsen_ZA
dc.identifier.urihttp://hdl.handle.net/10019.1/96965
dc.language.isoen_ZAen_ZA
dc.publisherStellenbosch : Stellenbosch Universityen_ZA
dc.rights.holderStellenbosch Universityen_ZA
dc.subjectPre-credit crunchen_ZA
dc.subjectInterest rateen_ZA
dc.subjectSABR modelen_ZA
dc.subjectUCTDen_ZA
dc.subjectInterest rates -- Mathematical modelsen_ZA
dc.subjectFinance -- Mathematical modelsen_ZA
dc.titleBuilding Interest Rate Curves and SABR Model Calibrationen_ZA
dc.typeThesisen_ZA
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