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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

An application of an entropy principle to short term interest rate modelling

Yani, Bridgette Makhosazana 23 May 2013 (has links)
This dissertation is based on the papers written by Platen and Rebolledo (1996), and Platen (1999). The papers focuses on modeling the short term interest rate by optimizing relative entropy of two probability measures Q and P. The derivation of the model is done by applying the three principles of market clearing, exclusion of arbitrage and minimization of increase of arbitrage information on a simple financial market model. The last principle is equivalent to minimization of the distance between the risk neutral and the real world probability measures. We test the model on historical data from two countries, United States and South Africa from different time frames. The results are then compared to the findings of Platen (1999). / Dissertation (MSc)--University of Pretoria, 2012. / Mathematics and Applied Mathematics / unrestricted

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