Analysis of equity and interest rate returns in South Africa under the context of jump diffusion processes
Includes bibliographical references === Over the last few decades, there has been vast interest in the modelling of asset returns using jump diffusion processes. This was in part as a result of the realisation that the standard diffusion processes, which do not allow for jumps, were not able to capt...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2016
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| Online Access: | http://hdl.handle.net/11427/16600 |