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

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.

Grantor dc:publisher.institution

Department of Mathematics and Applied Mathematics

Year dc:date.issued

2010

Author dc:creator

• Jones, Chris

Advisor dc:contributor.advisor

• Becker, Ronald

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/10835

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/10835