Sökning: "Vasicek short rate model"

Hittade 4 uppsatser innehållade orden Vasicek short rate model.

  1. 1. 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

  2. 2. A framework for modeling the liquidity and interest rate risk of demand deposits

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Peter Henningsson; Christina Skoglund; [2016]
    Nyckelord :Non-maturing liabilities; Liquidity risk; Interest rate risk; Vasicek short rate model; Deposit volume modeling; Deposit rate modeling; Valuation of demand deposits;

    Sammanfattning : The objective of this report is to carry out a pre-study and develop a framework for how the liquidity and interest rate risk of a bank's demand deposits can be modeled. This is done by first calibrating a Vasicek short rate model and then deriving models for the bank's deposit volume and deposit rate using multiple regression. LÄS MER

  3. 3. On Calibrating an Extension of the Chen Model

    Master-uppsats, KTH/Matematisk statistik

    Författare :Martin Möllberg; [2015]
    Nyckelord :;

    Sammanfattning : There are many ways of modeling stochastic processes of short-term interest rates. One way is to use one-factor models which may be easy to use and easy to calibrate. Another way is to use a three-factor model in the strive for a higher degree of congruency with real world market data. Calibrating such models may however take much more effort. LÄS MER

  4. 4. Portfolio Insurance Strategies in an Extended Black- Scholes Framework Including Jumps in Asset Prices

    H-uppsats, Chalmers tekniska högskola/Institutionen för matematiska vetenskaper

    Författare :Phillipe Collet Klintefelt; [2014]
    Nyckelord :;

    Sammanfattning : The Constant Proportion Portfolio Insurance (CPPI) and Option Based Portfolio Insurance(OBPI) strategies are examined and evaluated in an extended Black-Scholes framework including jumps in asset prices, stochastic volatility, and stochastic interestrate and bond prices. The Kou model (an exponential Levy model) was used to modethe dynamics of the risky assets. LÄS MER

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