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An application of an entropy principle to short term interest rate modelling
Dissertation (MSc)--University of Pretoria, 2012.
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| Format: | Thesis |
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University of Pretoria
2013
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| _version_ | 1867613668140646400 |
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| access_status_str | Open Access |
| author2 | Van Zyl, A.J. |
| author_browse | Van Zyl, A.J. |
| author_facet | Van Zyl, A.J. |
| collection | Thesis |
| dc_rights_str_mv | © 2012 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria |
| description | Dissertation (MSc)--University of Pretoria, 2012. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/24918 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:39:48.175Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/24918 An application of an entropy principle to short term interest rate modelling Van Zyl, A.J. bridgette.yani@up.ac.za Yani, Bridgette Makhosazana Short term interest rate modelling UCTD Dissertation (MSc)--University of Pretoria, 2012. This dissertation is based on the papers written by Platen and Rebolledo (1996), and Platen (1999). The papers focuses on modeling the short term interest rate by optimizing relative entropy of two probability measures Q and P. The derivation of the model is done by applying the three principles of market clearing, exclusion of arbitrage and minimization of increase of arbitrage information on a simple financial market model. The last principle is equivalent to minimization of the distance between the risk neutral and the real world probability measures. We test the model on historical data from two countries, United States and South Africa from different time frames. The results are then compared to the findings of Platen (1999). Mathematics and Applied Mathematics unrestricted 2013-09-06T18:49:19Z 2013-05-24 2013-09-06T18:49:19Z 2013-04-17 2012 2013-05-23 Dissertation Yani, BM 2012, An application of an entropy principle to short term interest rate modelling, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/24918 > E13/4/515/gm http://hdl.handle.net/2263/24918 http://upetd.up.ac.za/thesis/available/etd-05232013-130129/ © 2012 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria application/pdf University of Pretoria |
| spellingShingle | Short term interest rate modelling UCTD An application of an entropy principle to short term interest rate modelling |
| title | An application of an entropy principle to short term interest rate modelling |
| title_full | An application of an entropy principle to short term interest rate modelling |
| title_fullStr | An application of an entropy principle to short term interest rate modelling |
| title_full_unstemmed | An application of an entropy principle to short term interest rate modelling |
| title_short | An application of an entropy principle to short term interest rate modelling |
| title_sort | application of an entropy principle to short term interest rate modelling |
| topic | Short term interest rate modelling UCTD |
| url | http://hdl.handle.net/2263/24918 http://upetd.up.ac.za/thesis/available/etd-05232013-130129/ |