Estimating short rate models with application to bonds and bond options
M.Sc. (Mathematical Statistics) === In this dissertation we investigate the South-African interest rate market by analyzing the Johannesburg Interbank Agreed rate (JIBAR) and the South-African three-month treasurybill rate. In particular, we assess the goodness-of-fit of some well known parametric s...
| Published: |
2014
|
|---|---|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10210/8785 |