With the exception of holders of default-free instruments, a key risk run by investorsis credit risk. To meet the need of investors to hedge this risk, the market uses creditderivatives.The South African credit derivatives market is still in its infancy and only the verysimplistic instruments...

Instantaneous rate models, although theoretically satisfying, are lessso in practice. Instantaneous rates are not observable and calibra-tion to market data is complicated. Hence, the need for a marketmodel where one models LIBOR rates seems imperative. In thismodeling process, we aim at...