Pricing inflation-linked derivatives using the Jarrow-Yildirim model

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dc.contributor.advisorBecker, Ronalden_ZA
dc.contributor.authorSelamolela, Selebelo Ien_ZA
dc.date.accessioned2014-07-31T08:10:56Z
dc.date.available2014-07-31T08:10:56Z
dc.date.issued2009en_ZA
dc.descriptionIncludes bibliographical references (leaves 117-119).
dc.description.abstractIn this thesis we price inflation linked swaps, Caplet, Floorlet and Option on real zero coupon bond on foreign-currency analogy, as Hughston (1998) [20]. The nominal assets are thought of as domestic assets, real assets as foreign assets and the consumer price index is interpreted as the exchange rate between the nominal and real assets. We price the inflation linked derivatives using Jarrow and Yildirim (2003) [23] three factor HJM model. We assume that volatilities of all asset price, including consumer price index, are deterministic.en_ZA
dc.identifier.apacitationSelamolela, S. I. (2009). <i>Pricing inflation-linked derivatives using the Jarrow-Yildirim model</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4929en_ZA
dc.identifier.chicagocitationSelamolela, Selebelo I. <i>"Pricing inflation-linked derivatives using the Jarrow-Yildirim model."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2009. http://hdl.handle.net/11427/4929en_ZA
dc.identifier.citationSelamolela, S. 2009. Pricing inflation-linked derivatives using the Jarrow-Yildirim model. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Selamolela, Selebelo I AB - In this thesis we price inflation linked swaps, Caplet, Floorlet and Option on real zero coupon bond on foreign-currency analogy, as Hughston (1998) [20]. The nominal assets are thought of as domestic assets, real assets as foreign assets and the consumer price index is interpreted as the exchange rate between the nominal and real assets. We price the inflation linked derivatives using Jarrow and Yildirim (2003) [23] three factor HJM model. We assume that volatilities of all asset price, including consumer price index, are deterministic. DA - 2009 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2009 T1 - Pricing inflation-linked derivatives using the Jarrow-Yildirim model TI - Pricing inflation-linked derivatives using the Jarrow-Yildirim model UR - http://hdl.handle.net/11427/4929 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/4929
dc.identifier.vancouvercitationSelamolela SI. Pricing inflation-linked derivatives using the Jarrow-Yildirim model. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2009 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4929en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematics and Applied Mathematicsen_ZA
dc.titlePricing inflation-linked derivatives using the Jarrow-Yildirim modelen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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