University of Cape Town
Rondebosch
Cape Town, Western Cape 7700
South Africa
Roll-Over Risk, Multi-Curve Interest Rate Term Structure, OIS, IBOR, LIBOR Transition, Basis Swaps, Calibration
Payout Policy, Option Pricing, Buybacks, Dilution, Employee Incentive Plans, Structural Models of the Firm
Term Structure Models, Unspanned Stochastic Volatility, Market Completeness, Short-rate Models, Bivariate Models.
Interest-rate volatility, Unspanned stochastic volatility, Volatility risk, Hedging, Market completeness, Term structure models
Unspanned stochastic volatility (USV), term structure models, interest-rate volatility
Short-rate models, Closed-form option solution, Gaussian interest-rate models, term structure models
