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Interest rate model theory with reference to the South African market

Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006. / An overview of modern and historical interest rate model theory is given with the
specific aim of derivative pricing. A variety of stochastic interest rate models are
discussed within a South African market context. The various models are
compared with respect to characteristics such as mean reversion, positivity of
interest rates, the volatility structures they can represent, the yield curve shapes
they can represent and weather analytical bond and derivative prices can be found.
The distribution of the interest rates implied by some of these models is also found
under various measures. The calibration of these models also receives attention
with respect to instruments available in the South African market. Problems
associated with the calibration of the modern models are also discussed.

Identiferoai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/3396
Date03 1900
CreatorsVan Wijck, Tjaart
ContributorsConradie, W. J., University of Stellenbosch. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science.
PublisherStellenbosch : University of Stellenbosch
Source SetsSouth African National ETD Portal
Detected LanguageEnglish
TypeThesis
Format2849656 bytes, application/pdf
RightsUniversity of Stellenbosch

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