Browsing Faculty of Natural and Agricultural Sciences by Subject "T-bill and Testing for jumps"

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    • 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 ...