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No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates

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  • Peter Aling
  • Shakill Hassan

Abstract

Short-term interest rate processes determine the term-structure of interest rates in an arbitrage-free market, and are central to the valuation of interest-rate derivatives. We obtain parameter estimates and compare the empirical fit of alternative one-factor continuous-time processes for the South African short-term interest rate (and hence of arbitrage-free term-structure models), using Gaussian estimation methods. We […]

Suggested Citation

  • Peter Aling & Shakill Hassan, 2011. "No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates," Working Papers 246, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:246
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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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