Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Calibrating Term Structure Models to an Initial Yield Curve
The modelling of the short rate offers many advantages, with the models explored in this dissertation all offering closed-form, analytic formulae for bond prices and for options on bonds. Often, a vital primary condition is for a model to be calibrated to the initial term structure and to recover th...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
African Institute of Financial Markets and Risk Management
2021
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|