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Interest rate model theory with reference to the South African market
Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006.
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| Format: | Thesis |
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Stellenbosch : University of Stellenbosch
2006
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| _version_ | 1867613969762484224 |
|---|---|
| access_status_str | Open Access |
| author | Van Wijck, Tjaart |
| author2 | Conradie, W. J. |
| author_browse | Conradie, W. J. Van Wijck, Tjaart |
| author_facet | Conradie, W. J. Van Wijck, Tjaart |
| author_sort | Van Wijck, Tjaart |
| collection | Thesis |
| dc_rights_str_mv | University of Stellenbosch |
| description | Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006. |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/3396 |
| institution | Stellenbosch University (South Africa) |
| last_indexed | 2026-06-10T12:44:35.400Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2006 |
| publishDateRange | 2006 |
| publishDateSort | 2006 |
| publisher | Stellenbosch : University of Stellenbosch |
| publisherStr | Stellenbosch : University of Stellenbosch |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/3396 Interest rate model theory with reference to the South African market Van Wijck, Tjaart Conradie, W. J. University of Stellenbosch. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science. Interest rates -- South Africa Derivative securities -- Prices -- South Africa Interest rates -- Mathematical models Derivative securities -- Prices -- Mathematical models Dissertations -- Statistics and actuarial science Theses -- Statistics and actuarial science Assignments -- Statistics and actuarial science Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006. An overview of modern and historical interest rate model theory is given with the specific aim of derivative pricing. A variety of stochastic interest rate models are discussed within a South African market context. The various models are compared with respect to characteristics such as mean reversion, positivity of interest rates, the volatility structures they can represent, the yield curve shapes they can represent and weather analytical bond and derivative prices can be found. The distribution of the interest rates implied by some of these models is also found under various measures. The calibration of these models also receives attention with respect to instruments available in the South African market. Problems associated with the calibration of the modern models are also discussed. Masters 2006-10-17T09:19:44Z 2010-07-09T11:09:17Z 2006-10-17T09:19:44Z 2010-07-09T11:09:17Z 2006-03 Thesis http://hdl.handle.net/10019.1/3396 University of Stellenbosch 2849656 bytes application/pdf application/pdf Stellenbosch : University of Stellenbosch |
| spellingShingle | Interest rates -- South Africa Derivative securities -- Prices -- South Africa Interest rates -- Mathematical models Derivative securities -- Prices -- Mathematical models Dissertations -- Statistics and actuarial science Theses -- Statistics and actuarial science Assignments -- Statistics and actuarial science Van Wijck, Tjaart Interest rate model theory with reference to the South African market |
| title | Interest rate model theory with reference to the South African market |
| title_full | Interest rate model theory with reference to the South African market |
| title_fullStr | Interest rate model theory with reference to the South African market |
| title_full_unstemmed | Interest rate model theory with reference to the South African market |
| title_short | Interest rate model theory with reference to the South African market |
| title_sort | interest rate model theory with reference to the south african market |
| topic | Interest rates -- South Africa Derivative securities -- Prices -- South Africa Interest rates -- Mathematical models Derivative securities -- Prices -- Mathematical models Dissertations -- Statistics and actuarial science Theses -- Statistics and actuarial science Assignments -- Statistics and actuarial science |
| url | http://hdl.handle.net/10019.1/3396 |
| work_keys_str_mv | AT vanwijcktjaart interestratemodeltheorywithreferencetothesouthafricanmarket |