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
Benchmark reform; Libor transition; interest-rate jumps; short-rate modelling; stochastic discontinuities; interest-rate options.
Payout Policy, Option Pricing, Buybacks, Dilution, Employee Incentive Plans, Structural Models of the Firm
Unspanned stochastic volatility (USV), term structure models, interest-rate volatility
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
hedging, interest-rate derivatives, interest-rate volatility, LIBOR market model
