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Pricing inflation-linked derivatives using the Jarrow-Yildirim model
Includes bibliographical references (leaves 117-119).
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867613337109397504 |
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| access_status_str | Open Access |
| author | Selamolela, Selebelo I |
| author2 | Becker, Ronald |
| author_browse | Becker, Ronald Selamolela, Selebelo I |
| author_facet | Becker, Ronald Selamolela, Selebelo I |
| author_sort | Selamolela, Selebelo I |
| collection | Thesis |
| description | Includes bibliographical references (leaves 117-119). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4929 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:32.198Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4929 Pricing inflation-linked derivatives using the Jarrow-Yildirim model Selamolela, Selebelo I Becker, Ronald Mathematics and Applied Mathematics Includes bibliographical references (leaves 117-119). In this thesis we price inflation linked swaps, Caplet, Floorlet and Option on real zero coupon bond on foreign-currency analogy, as Hughston (1998) [20]. The nominal assets are thought of as domestic assets, real assets as foreign assets and the consumer price index is interpreted as the exchange rate between the nominal and real assets. We price the inflation linked derivatives using Jarrow and Yildirim (2003) [23] three factor HJM model. We assume that volatilities of all asset price, including consumer price index, are deterministic. 2014-07-31T08:10:56Z 2014-07-31T08:10:56Z 2009 Master Thesis Masters MSc http://hdl.handle.net/11427/4929 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics and Applied Mathematics Selamolela, Selebelo I Pricing inflation-linked derivatives using the Jarrow-Yildirim model |
| thesis_degree_str | Master's |
| title | Pricing inflation-linked derivatives using the Jarrow-Yildirim model |
| title_full | Pricing inflation-linked derivatives using the Jarrow-Yildirim model |
| title_fullStr | Pricing inflation-linked derivatives using the Jarrow-Yildirim model |
| title_full_unstemmed | Pricing inflation-linked derivatives using the Jarrow-Yildirim model |
| title_short | Pricing inflation-linked derivatives using the Jarrow-Yildirim model |
| title_sort | pricing inflation linked derivatives using the jarrow yildirim model |
| topic | Mathematics and Applied Mathematics |
| url | http://hdl.handle.net/11427/4929 |
| work_keys_str_mv | AT selamolelaselebeloi pricinginflationlinkedderivativesusingthejarrowyildirimmodel |