An investigation of short rate models and the pricing of contigent claims in a South African setting

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dc.contributor.advisorBecker, Ronalden_ZA
dc.contributor.authorJones, Chrisen_ZA
dc.date.accessioned2015-01-01T12:38:25Z
dc.date.available2015-01-01T12:38:25Z
dc.date.issued2010en_ZA
dc.descriptionIncludes abstract.en_ZA
dc.descriptionIncludes bibliographical references (p. 110-113).en_ZA
dc.description.abstractThis dissertation investigates the dynamics of interest rates through the modelling of the short rate { the spot interest rate that applies for an in-infinitesimally short period of time. By modelling such a rate via a diffusion process, one is able to characterize the entire yield curve and price plain vanilla options. The aim is to investigate which of the more popular short rate models is best suited for pricing such options, which are actively traded in the market. Thus one can then use such models to price more exotic options, as such options are typically less frequently traded in the market.en_ZA
dc.identifier.apacitationJones, C. (2010). <i>An investigation of short rate models and the pricing of contigent claims in a South African setting</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/10835en_ZA
dc.identifier.chicagocitationJones, Chris. <i>"An investigation of short rate models and the pricing of contigent claims in a South African setting."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2010. http://hdl.handle.net/11427/10835en_ZA
dc.identifier.citationJones, C. 2010. An investigation of short rate models and the pricing of contigent claims in a South African setting. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Jones, Chris AB - This dissertation investigates the dynamics of interest rates through the modelling of the short rate { the spot interest rate that applies for an in-infinitesimally short period of time. By modelling such a rate via a diffusion process, one is able to characterize the entire yield curve and price plain vanilla options. The aim is to investigate which of the more popular short rate models is best suited for pricing such options, which are actively traded in the market. Thus one can then use such models to price more exotic options, as such options are typically less frequently traded in the market. DA - 2010 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2010 T1 - An investigation of short rate models and the pricing of contigent claims in a South African setting TI - An investigation of short rate models and the pricing of contigent claims in a South African setting UR - http://hdl.handle.net/11427/10835 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/10835
dc.identifier.vancouvercitationJones C. An investigation of short rate models and the pricing of contigent claims in a South African setting. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2010 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10835en_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 of Financeen_ZA
dc.titleAn investigation of short rate models and the pricing of contigent claims in a South African settingen_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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