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South African Inflation Modelling Under the HJM Framework
Inflation modelling is typically done following an econometric approach, however this results in models being constructed that are not consistent with the observable bond market and as such they cannot be used in hedging market instruments or in pricing inflation-linked derivatives. Jarrow and Yildi...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2023
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