Interest rate model theory with reference to the South African market
Date
2006-03
Authors
Van Wijck, Tjaart
Journal Title
Journal ISSN
Volume Title
Publisher
Stellenbosch : University of Stellenbosch
Abstract
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.
Description
Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006.
Keywords
Interest rates -- South Africa, Derivative securities -- Prices -- South Africa, Interest rates -- Mathematical models, Derivative securities -- Prices -- Mathematical models, Dissertations -- Statistics and actuarial science, Theses -- Statistics and actuarial science, Assignments -- Statistics and actuarial science