Sökning: "Vasicek short rate model"
Hittade 4 uppsatser innehållade orden Vasicek short rate model.
- Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen
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
- Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik
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
- Master-uppsats, KTH/Matematisk statistik
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. Portfolio Insurance Strategies in an Extended Black- Scholes Framework Including Jumps in Asset PricesH-uppsats, Chalmers tekniska högskola/Institutionen för matematiska vetenskaper
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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