Heath–Jarrow–Morton models with jumps
Thesis (MSc)--Stellenbosch University, 2015. === ENGLISH ABSTRACT : The standard-Heath–Jarrow–Morton (HJM) framework is well-known for its application to pricing and hedging interest rate derivatives. This study implemented the extended HJM framework introduced by Eberlein and Raible (1999), in wh...
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| Format: | Others |
| Language: | en_ZA |
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Stellenbosch : Stellenbosch University
2015
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| Online Access: | http://hdl.handle.net/10019.1/96783 |