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An introduction to interest rate jumps at deterministic times
The observation of jumps in empirical interest-rate data has prompted the inclusion of these jumps in recent term-structure models. This dissertation focusses on explaining the effects of jumps that occur at known times on the pricing of bonds. Filipovic (2009) affirms that the transition from the p...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2023
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| _version_ | 1867613143941775360 |
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| access_status_str | Open Access |
| author | Bastick, Kirk |
| author2 | Backwell, Alex |
| author_browse | Backwell, Alex Bastick, Kirk |
| author_facet | Backwell, Alex Bastick, Kirk |
| author_sort | Bastick, Kirk |
| collection | Thesis |
| description | The observation of jumps in empirical interest-rate data has prompted the inclusion of these jumps in recent term-structure models. This dissertation focusses on explaining the effects of jumps that occur at known times on the pricing of bonds. Filipovic (2009) affirms that the transition from the physical measure to the riskneutral measure is key to the pricing of bonds and other financial instruments. Jumps in the interest rate at known times add a layer of complexity to this measurechange process. A simplified version of the term-structure model proposed by Kim and Wright (2014) is employed to analyse the effect of the jumps on the one-year point on the yield curve. Jumps at deterministic times are found to have a material effect on the one-year yield with an increasing effect as time approaches a deterministic jump date. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/37418 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:28.055Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2023 |
| publishDateRange | 2023 |
| publishDateSort | 2023 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/37418 An introduction to interest rate jumps at deterministic times Bastick, Kirk Backwell, Alex Mathematical Finance The observation of jumps in empirical interest-rate data has prompted the inclusion of these jumps in recent term-structure models. This dissertation focusses on explaining the effects of jumps that occur at known times on the pricing of bonds. Filipovic (2009) affirms that the transition from the physical measure to the riskneutral measure is key to the pricing of bonds and other financial instruments. Jumps in the interest rate at known times add a layer of complexity to this measurechange process. A simplified version of the term-structure model proposed by Kim and Wright (2014) is employed to analyse the effect of the jumps on the one-year point on the yield curve. Jumps at deterministic times are found to have a material effect on the one-year yield with an increasing effect as time approaches a deterministic jump date. 2023-03-13T13:52:55Z 2023-03-13T13:52:55Z 2022 2023-02-20T12:16:12Z Master Thesis Masters MPhil http://hdl.handle.net/11427/37418 eng application/pdf Department of Finance and Tax Faculty of Commerce |
| spellingShingle | Mathematical Finance Bastick, Kirk An introduction to interest rate jumps at deterministic times |
| thesis_degree_str | Master's |
| title | An introduction to interest rate jumps at deterministic times |
| title_full | An introduction to interest rate jumps at deterministic times |
| title_fullStr | An introduction to interest rate jumps at deterministic times |
| title_full_unstemmed | An introduction to interest rate jumps at deterministic times |
| title_short | An introduction to interest rate jumps at deterministic times |
| title_sort | introduction to interest rate jumps at deterministic times |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/37418 |
| work_keys_str_mv | AT bastickkirk anintroductiontointerestratejumpsatdeterministictimes AT bastickkirk introductiontointerestratejumpsatdeterministictimes |