Estimating short rate models with application to bonds and bond options

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...

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Bibliographic Details
Published:	2014
Subjects:	Interest rates - South Africa - Statistics
Online Access:	http://hdl.handle.net/10210/8785

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