Modelling the short term interest with stochastic differential equation in continuous time: linear versus non-linear mode

Doctoral thesis OPEN
(2014)
  • Subject: Interest rates - South Africa | Interest rates - Mathematical models

M.Com. (Financial Economics) Recently, there has been a growth in the bond market. This growth has brought with it an ever-increasing volume and range of interest rate depended derivative products known as interest rate derivatives. Amongst the variables used in pric... View more
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