Linear-Rational Term Structure Models With Flexible Level-Dependent Volatility
The Linear-Rational Framework for the modelling of interest rates is a framework which allows for the addition of spanned and unspanned factors, while maintaining a lower bound on rates and tractable valuation of interest rate derivatives, particularly swaptions. The advantages of having all these p...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2019
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| Online Access: | http://hdl.handle.net/11427/29215 |