{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/37773"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/37773","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Implementing short-rate models with jumps at deterministic times","abstract":"Macroeconomic announcements have a direct impact on short-term interest rates during a financial year. However, this is not directly reflected in the continuous-time interest rate models. In this paper, we work with short-rate models which include the possibility of jumps at deterministic times. An application of the finite-difference method enables the pricing of bonds and bond options in these short-rate models with different types of jump distributions. A closed-form solution for bond prices, when the jumps are normally distributed, is available in the literature, but not for other jump distributions. The Monte Carlo method is used to compare the finite-difference calculations for these cases. An illustration of varying important model parameters is provided in which we observe that an increase in option prices could result from an increase in the jump variances and/or volatility parameters.","abstract_html":"Macroeconomic announcements have a direct impact on short-term interest rates during a financial year. However, this is not directly reflected in the continuous-time interest rate models. In this paper, we work with short-rate models which include the possibility of jumps at deterministic times. An application of the finite-difference method enables the pricing of bonds and bond options in these short-rate models with different types of jump distributions. A closed-form solution for bond prices, when the jumps are normally distributed, is available in the literature, but not for other jump distributions. The Monte Carlo method is used to compare the finite-difference calculations for these cases. An illustration of varying important model parameters is provided in which we observe that an increase in option prices could result from an increase in the jump variances and/or volatility parameters.","abstract_has_math":false,"creators":["Shibduth, Darvesh Yogandar"],"institution":"Department of Finance and Tax","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Backwell, Alex"],"committee_chairs":[],"committee_members":[],"year":2022,"date_issued":"2022","date_published":"2022","updated_at":"2026-07-22T22:23:31Z","subjects":["finance","tax"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/37773","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Backwell, Alex"]},{"key":"dc:creator","label":"Author","values":["Shibduth, Darvesh Yogandar"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2023-04-19T14:26:11Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2023-04-19T14:26:11Z"]},{"key":"dc:date.issued","label":"Date","values":["2022"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Finance and Tax"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters","MPhil"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["finance","tax"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/37773"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["Macroeconomic announcements have a direct impact on short-term interest rates during a financial year. However, this is not directly reflected in the continuous-time interest rate models. In this paper, we work with short-rate models which include the possibility of jumps at deterministic times. An application of the finite-difference method enables the pricing of bonds and bond options in these short-rate models with different types of jump distributions. A closed-form solution for bond prices, when the jumps are normally distributed, is available in the literature, but not for other jump distributions. The Monte Carlo method is used to compare the finite-difference calculations for these cases. An illustration of varying important model parameters is provided in which we observe that an increase in option prices could result from an increase in the jump variances and/or volatility parameters."]},{"key":"dc:title","label":"Title","values":["Implementing short-rate models with jumps at deterministic times"]}]}],"canonical_facts":{"dc:contributor.advisor":["Backwell, Alex"],"dc:creator":["Shibduth, Darvesh Yogandar"],"dc:date.accessioned":["2023-04-19T14:26:11Z"],"dc:date.available":["2023-04-19T14:26:11Z"],"dc:date.issued":["2022"],"dc:description.abstract":["Macroeconomic announcements have a direct impact on short-term interest rates during a financial year. However, this is not directly reflected in the continuous-time interest rate models. In this paper, we work with short-rate models which include the possibility of jumps at deterministic times. An application of the finite-difference method enables the pricing of bonds and bond options in these short-rate models with different types of jump distributions. A closed-form solution for bond prices, when the jumps are normally distributed, is available in the literature, but not for other jump distributions. The Monte Carlo method is used to compare the finite-difference calculations for these cases. An illustration of varying important model parameters is provided in which we observe that an increase in option prices could result from an increase in the jump variances and/or volatility parameters."],"dc:identifier.uri":["http://hdl.handle.net/11427/37773"],"dc:publisher.department":["Department of Finance and Tax"],"dc:subject":["finance","tax"],"dc:title":["Implementing short-rate models with jumps at deterministic times"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters","MPhil"]},"updated_at":"2026-07-22T22:23:31Z"}