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An investigation of short rate models and the pricing of contigent claims in a South African setting
Includes abstract.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2015
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| _version_ | 1867614062324482048 |
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| access_status_str | Open Access |
| author | Jones, Chris |
| author2 | Becker, Ronald |
| author_browse | Becker, Ronald Jones, Chris |
| author_facet | Becker, Ronald Jones, Chris |
| author_sort | Jones, Chris |
| collection | Thesis |
| description | Includes abstract. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/10835 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:46:04.197Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/10835 An investigation of short rate models and the pricing of contigent claims in a South African setting Jones, Chris Becker, Ronald Mathematics of Finance Includes abstract. Includes bibliographical references (p. 110-113). This dissertation investigates the dynamics of interest rates through the modelling of the short rate { the spot interest rate that applies for an in-infinitesimally short period of time. By modelling such a rate via a diffusion process, one is able to characterize the entire yield curve and price plain vanilla options. The aim is to investigate which of the more popular short rate models is best suited for pricing such options, which are actively traded in the market. Thus one can then use such models to price more exotic options, as such options are typically less frequently traded in the market. 2015-01-01T12:38:25Z 2015-01-01T12:38:25Z 2010 Master Thesis Masters MSc http://hdl.handle.net/11427/10835 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics of Finance Jones, Chris An investigation of short rate models and the pricing of contigent claims in a South African setting |
| thesis_degree_str | Master's |
| title | An investigation of short rate models and the pricing of contigent claims in a South African setting |
| title_full | An investigation of short rate models and the pricing of contigent claims in a South African setting |
| title_fullStr | An investigation of short rate models and the pricing of contigent claims in a South African setting |
| title_full_unstemmed | An investigation of short rate models and the pricing of contigent claims in a South African setting |
| title_short | An investigation of short rate models and the pricing of contigent claims in a South African setting |
| title_sort | investigation of short rate models and the pricing of contigent claims in a south african setting |
| topic | Mathematics of Finance |
| url | http://hdl.handle.net/11427/10835 |
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