Interest rate model theory with reference to the South African market

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dc.contributor.advisorConradie, W. J.
dc.contributor.authorVan Wijck, Tjaarten_ZA
dc.contributor.otherUniversity of Stellenbosch. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science.
dc.date.accessioned2006-10-17T09:19:44Zen_ZA
dc.date.accessioned2010-07-09T11:09:17Z
dc.date.available2006-10-17T09:19:44Zen_ZA
dc.date.available2010-07-09T11:09:17Z
dc.date.issued2006-03en_ZA
dc.descriptionThesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006.
dc.description.abstractAn 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.en_ZA
dc.format.extent2849656 bytesen_ZA
dc.format.mimetypeapplication/pdfen_ZA
dc.identifier.urihttp://hdl.handle.net/10019.1/3396
dc.publisherStellenbosch : University of Stellenbosch
dc.rights.holderUniversity of Stellenbosch
dc.subjectInterest rates -- South Africaen
dc.subjectDerivative securities -- Prices -- South Africaen
dc.subjectInterest rates -- Mathematical modelsen
dc.subjectDerivative securities -- Prices -- Mathematical modelsen
dc.subjectDissertations -- Statistics and actuarial scienceen
dc.subjectTheses -- Statistics and actuarial scienceen
dc.subjectAssignments -- Statistics and actuarial scienceen
dc.titleInterest rate model theory with reference to the South African marketen_ZA
dc.typeThesisen_ZA
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