Level-dependent volatility in jumping short-rate models

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dc.contributor.advisorBackwell, Alexander
dc.contributor.authorChitambo, Nigel Elton Nyasha
dc.date.accessioned2025-07-31T13:17:59Z
dc.date.available2025-07-31T13:17:59Z
dc.date.issued2025
dc.date.updated2025-07-31T13:12:00Z
dc.description.abstractThis dissertation constructs a no-arbitrage term structure with deterministically timed randomly sized jumps to price interest rate contingent claims while accounting for level-dependent volatility. This dissertation will price such claims using an implicit finite difference scheme to implement a modelling framework that prices bonds, bond options and caplets with scheduled shocks to the short-term interest rate to simulate macroeconomic announcements and other sudden developments. This dissertation found that the prices derived from the implicit finite difference scheme agree with those derived from Monte-Carlo simulations and, where applicable, analytical solutions. Moreover, this dissertation shows how innovations in the short-term rate affect the valuations of interest rate contingent claims.
dc.identifier.apacitationChitambo, N. E. N. (2025). <i>Level-dependent volatility in jumping short-rate models</i>. (). Universiy of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/41550en_ZA
dc.identifier.chicagocitationChitambo, Nigel Elton Nyasha. <i>"Level-dependent volatility in jumping short-rate models."</i> ., Universiy of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2025. http://hdl.handle.net/11427/41550en_ZA
dc.identifier.citationChitambo, N.E.N. 2025. Level-dependent volatility in jumping short-rate models. . Universiy of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. http://hdl.handle.net/11427/41550en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Chitambo, Nigel Elton Nyasha AB - This dissertation constructs a no-arbitrage term structure with deterministically timed randomly sized jumps to price interest rate contingent claims while accounting for level-dependent volatility. This dissertation will price such claims using an implicit finite difference scheme to implement a modelling framework that prices bonds, bond options and caplets with scheduled shocks to the short-term interest rate to simulate macroeconomic announcements and other sudden developments. This dissertation found that the prices derived from the implicit finite difference scheme agree with those derived from Monte-Carlo simulations and, where applicable, analytical solutions. Moreover, this dissertation shows how innovations in the short-term rate affect the valuations of interest rate contingent claims. DA - 2025 DB - OpenUCT DP - University of Cape Town KW - finance KW - tax LK - https://open.uct.ac.za PB - Universiy of Cape Town PY - 2025 T1 - Level-dependent volatility in jumping short-rate models TI - Level-dependent volatility in jumping short-rate models UR - http://hdl.handle.net/11427/41550 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/41550
dc.identifier.vancouvercitationChitambo NEN. Level-dependent volatility in jumping short-rate models. []. Universiy of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2025 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/41550en_ZA
dc.language.rfc3066eng
dc.publisher.departmentDepartment of Finance and Tax
dc.publisher.facultyFaculty of Commerce
dc.publisher.institutionUniversiy of Cape Town
dc.subjectfinance
dc.subjecttax
dc.titleLevel-dependent volatility in jumping short-rate models
dc.typeThesis / Dissertation
dc.type.qualificationlevelMasters
dc.type.qualificationlevelMPhil
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