publication . Doctoral thesis . 2014

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

Open Access
  • Published: 10 Jun 2014
  • Country: South Africa
Abstract
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 pricing these derivative products is the short-term interest rate. A numbers of short-term interest rate models that are used to fit the short-term interest rate exist. Therefore, understanding the features characterised by various short-term interest rate models, and determining the best fitting models is crucial as this variable is fundamental in pricing interest rate derivatives, which further determi...
Subjects
free text keywords: Interest rates - South Africa, Interest rates - Mathematical models
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