{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/4929"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/4929","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Pricing inflation-linked derivatives using the Jarrow-Yildirim model","abstract":"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.","abstract_html":"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.","abstract_has_math":false,"creators":["Selamolela, Selebelo I"],"institution":"Department of Mathematics and Applied Mathematics","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Becker, Ronald"],"committee_chairs":[],"committee_members":[],"year":2009,"date_issued":"2009","date_published":"2009","updated_at":"2026-07-22T22:23:27Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/4929","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Becker, Ronald"]},{"key":"dc:creator","label":"Author","values":["Selamolela, Selebelo I"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-07-31T08:10:56Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-07-31T08:10:56Z"]},{"key":"dc:date.issued","label":"Date","values":["2009"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Mathematics and Applied Mathematics"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MSc"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/4929"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references (leaves 117-119)."]},{"key":"dc:description.abstract","label":"Abstract","values":["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."]},{"key":"dc:title","label":"Title","values":["Pricing inflation-linked derivatives using the Jarrow-Yildirim model"]}]}],"canonical_facts":{"dc:contributor.advisor":["Becker, Ronald"],"dc:creator":["Selamolela, Selebelo I"],"dc:date.accessioned":["2014-07-31T08:10:56Z"],"dc:date.available":["2014-07-31T08:10:56Z"],"dc:date.issued":["2009"],"dc:description":["Includes bibliographical references (leaves 117-119)."],"dc:description.abstract":["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."],"dc:identifier.uri":["http://hdl.handle.net/11427/4929"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Mathematics and Applied Mathematics"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Pricing inflation-linked derivatives using the Jarrow-Yildirim model"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MSc"]},"updated_at":"2026-07-22T22:23:27Z"}