Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
An investigation of short rate models and the pricing of contigent claims in a South African setting
Includes abstract.
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2015
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
Similar Items: An investigation of short rate models and the pricing of contigent claims in a South African setting
- Modelling the South African Inter-Bank Interest Rate Market using a Log-Normal Rational Pricing Kernel Model
- Bias-Free Joint Simulation of Multi-Factor Short Rate Models and Discount Factor
- An application of short rate modelling involving roll-over risk to caplet pricing
- A study on the effect of dilutions and buybacks on the pricing of equity and stock based claims using a finite difference mesh
- The LIBOR market model in the South African setting
- An Application of Deep Hedging in Pricing and Hedging Caplets on the Prime Lending Rate