The SAFEX-JIBAR Market Models
| dc.contributor.author | Gumbo, Victor | |
| dc.date.accessioned | 2014-12-10T09:29:06Z | |
| dc.date.accessioned | 2023-06-26T12:08:44Z | |
| dc.date.available | 2014-12-10T09:29:06Z | |
| dc.date.available | 2023-06-26T12:08:44Z | |
| dc.date.issued | 2012-11 | |
| dc.description | This article is published on Journal of Mathematical Finance Vol. 2, pp.321-326 in 2012. It is about the construction of the SAFEX-JIBAR model which gives prices consistent with both economic practicality and with other Black-type models. | en_US |
| dc.description.abstract | It is possible to construct an arbitrage-free interest rate model in which the LIBOR rates follow a log-normal process leading to Black-type pricing formulae for caps and floors. The key to their approach is to start directly with modeling observed market rates, LIBOR rates in this case, instead of instantaneous spot rates or forward rates. This model is known as the LIBOR Market Model. We formulate the SAFEX-JIBAR market model based on the fact that the forward JIBAR rates follow a log-normal process. Formulae of the Black-type are deduced. | en_US |
| dc.identifier.citation | Gumbo, V. 2012. The SAFEX-JIBAR Market Models. Journal of Mathematical Finance, 2, pp. 321-326. | en_US |
| dc.identifier.other | doi: 2012.24035 | |
| dc.identifier.uri | http://196.220.97.103:4000/handle/123456789/446 | |
| dc.language.iso | en | en_US |
| dc.publisher | Scientific Research | en_US |
| dc.rights.license | This article was downloaded from NUST Institutional repository, and is made available under the terms and conditions as set out in the Institutional Repository Policy. | en_US |
| dc.subject | LIBOR | en_US |
| dc.subject | SAFEX-JIBAR | en_US |
| dc.subject | Market Models | en_US |
| dc.subject | Caps | en_US |
| dc.subject | Floors | en_US |
| dc.subject | Collars | en_US |
| dc.title | The SAFEX-JIBAR Market Models | en_US |
| dc.type | Article | en_US |