Sökning: "CIR"

Visar resultat 16 - 20 av 39 uppsatser innehållade ordet CIR.

  1. 16. CIR Modeling of Interest Rates

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

    Författare :ZAN MIAO; [2018]
    Nyckelord :;

    Sammanfattning : Short-term interest rate models within one-year financing maturity are considered. In this thesis, we mainly study two short-term interest rate models, the Cox-Ingersoll-Ross model (CIR model) and the Vasicek model. The CIR model is evaluated by numerical simulations based on applying the Euler approximation method and an exact algorithm. LÄS MER

  3. 17. Recycling acoustic products - improving circular economy in an industrial company

    Master-uppsats, Lunds universitet/Innovation

    Författare :Martin Walter; Fredrik Mayr; [2018]
    Nyckelord :Circular economy; recycling; up-cycling; acoustic products; waste reduction; Technology and Engineering;

    Sammanfattning : The construction and demolition sector stands for a large amount of the waste produced every year, roughly one third of all waste produced every year in Sweden, comes from this sector. The construction material manu- facturer Ecophon is a world leading company in manufacturing of acoustic products made out of glass wool, which are used in all kind of buildings and the general geometry of an acoustic product can be described as a rectangular board. LÄS MER

  4. 18. The Fallacy of The Cox, Ingersoll & Ross Model. An empirical study on US bond data

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Gusten Lindkvister; Philip Swärd; [2017-07-26]
    Nyckelord :Term-structure; CIR; interest rates; bonds; US Treasury Notes;

    Sammanfattning : This paper examines the performance of the original one-factor Cox, Ingersoll & Ross model during a contemporary dataset using an OLS procedure. The model is fundamental for many nancial models used for investment decisions, it is therefore important to validate its performance during current market conditions characterized by low interest rates. LÄS MER

  5. 19. Pricing contingent convertible bonds: A numerical implementation with the hybrid equity-credit model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Maggie Wan-Chun Bogert; Zhang Zhao; [2017-07-25]
    Nyckelord :Contingent Convertible Bonds; Equity-credit Model; CoCos; Fortet Algorithms; Pricing;

    Sammanfattning : The contingent convertible (CoCo) bond is a loss-absorbing instrument which can be converted mandatorily to common equity when a trigger event happens, such as the bookvalue trigger and the discretionary trigger. The book-value trigger means that once the capital ratio hits the pre-specified threshold, the equity conversion will be activated. LÄS MER

  7. 20. Short-Term Interest Rate Models: An Application of Different Models in Multiple Countries

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Yajie Zhao; Boru Wang; [2017]
    Nyckelord :The Vasicek model; the CIR model; General Method of Moments.; Business and Economics;

    Sammanfattning : The purpose of this study is to compare the different short-term interest rate models, and to identify the better model within multiple countries. We selected three different types of data from the United States, the United Kingdom, and New Zealand. LÄS MER