Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions
Includes bibliographical references === This paper revisits pricing and hedging differences presented by Z. Guan, et. al., 2008 from a South African context. The Asset Liabilities Management (ALM) departments in large financial institutions are plagued by a number of problems. Among them is the cho...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Dissertation |
| Language: | English |
| Published: |
University of Cape Town
2015
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/11427/12619 |