{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/41550"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/41550","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Level-dependent volatility in jumping short-rate models","abstract":"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.","abstract_html":"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.","abstract_has_math":false,"creators":["Chitambo, Nigel Elton Nyasha"],"institution":"Department of Finance and Tax","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Backwell, Alexander"],"committee_chairs":[],"committee_members":[],"year":2025,"date_issued":"2025","date_published":"2025","updated_at":"2026-07-22T22:22:37Z","subjects":["finance","tax"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/41550","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Backwell, Alexander"]},{"key":"dc:creator","label":"Author","values":["Chitambo, Nigel Elton Nyasha"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2025-07-31T13:17:59Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2025-07-31T13:17:59Z"]},{"key":"dc:date.issued","label":"Date","values":["2025"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Finance and Tax"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["Universiy of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Thesis / Dissertation"]},{"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/11427/41550"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["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."]},{"key":"dc:title","label":"Title","values":["Level-dependent volatility in jumping short-rate models"]}]}],"canonical_facts":{"dc:contributor.advisor":["Backwell, Alexander"],"dc:creator":["Chitambo, Nigel Elton Nyasha"],"dc:date.accessioned":["2025-07-31T13:17:59Z"],"dc:date.available":["2025-07-31T13:17:59Z"],"dc:date.issued":["2025"],"dc:description.abstract":["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."],"dc:identifier.uri":["http://hdl.handle.net/11427/41550"],"dc:publisher.department":["Department of Finance and Tax"],"dc:publisher.institution":["Universiy of Cape Town"],"dc:subject":["finance","tax"],"dc:title":["Level-dependent volatility in jumping short-rate models"],"dc:type":["Thesis / Dissertation"],"dc:type.qualificationlevel":["Masters","MPhil"]},"updated_at":"2026-07-22T22:22:37Z"}