Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/7625
Title: | Applications of optimization to sovereign debt issuance |
Authors: | Abdel-Jawad, Malek |
Advisors: | Date, P |
Keywords: | Mixed integer linear programming;Optimization;Public debt management;Auction process model |
Issue Date: | 2013 |
Publisher: | Brunel University, School of Information Systems, Computing and Mathematics |
Abstract: | This thesis investigates different issues related to the issuance of debt by sovereign bodies such as governments, under uncertainty about the future interest rates. Several dynamic models of interest rates are presented, along with extensive numerical experiments for calibration of models and comparison of performance on real financial market data. The main contribution of the thesis is the construction and demonstration of a stochastic optimisation model for debt issuance under interest rate uncertainty. When the uncertainty is modelled using a model from a certain class of single factor interest rate models, one can construct a scenario tree such that the number of scenarios grows linearly with time steps. An optimization model is constructed using such a one factor scenario tree. For a real government debt issuance remit, a multi-stage stochastic optimization is performed to choose the type and the amount of debt to be issued and the results are compared with the real issuance. The currently used simulation models by the government, which are in public domain, are also reviewed. Apparently, using an optimization model, such as the one proposed in this work, can lead to substantial savings in the servicing costs of the issued debt |
Description: | This thesis was submitted for the degree of Doctor of Philosophy and was awarded by Brunel University |
URI: | http://bura.brunel.ac.uk/handle/2438/7625 |
Appears in Collections: | Computer Science Dept of Mathematics Theses |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
FulltextThesis.pdf | 6.18 MB | Adobe PDF | View/Open |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.