Browsing by Subject "JIBAR"

Now showing items 1-2 of 2

    • The absence of diffusion in the South African short rate 

      Grobler, G.L. (SASA, 2019)
      In the field of Financial Mathematics, stochastic differential equations are used to describe the dynamics of interest rates. An example is a model for the short rate, which is a mathematically defined rate not directly ...

    • Pricing interest rate derivatives in an illiquid market 

      Grobler, G.L. (North-West University, 2017)
      Globally, one-factor diffusion processes have been popular models for the short rate by virtue of their analytically tractable features. However, due to shortcomings of these models in certain markets a number of models, ...