Sökning: "Zero-Coupon rate"

Hittade 5 uppsatser innehållade orden Zero-Coupon rate.

  1. 1. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Benjamin Neander; Victor Mattson; [2023]
    Nyckelord :Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

    Sammanfattning : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. LÄS MER

  3. 2. Volatility- An investigation of the relationship between price- and yield volatility

    Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Samia Nasir; [2020]
    Nyckelord :Price Volatility; Yield Volatility; Python; Bonds; Zero-Coupon rate; COVID-19;

    Sammanfattning : This report investigates the relationship between the yield volatility and the price volatility in the Swedish market. The method given in our report can be used to analyze any market with appropriate data set. We have used a time-series data of interest rate yield curves from Swedish government bonds. LÄS MER

  4. 3. Calibrating the Hull-White model using Adjoint Algorithmic Differentiation

    Master-uppsats, KTH/Matematisk statistik

    Författare :Simon Carmelid; [2017]
    Nyckelord :;

    Sammanfattning : This thesis includes a brief introduction to Adjoint Algorithmic Differentiation (AAD), accompanied by numerical examples, step-by-step explanations and runtime comparisons to a finite difference method. In order to show the applicability of AAD in a stochastic setting, it is also applied in the calculation of the arbitrage free price and partial derivatives of a European call option, where the underlying stock has Geometric Brownian motion dynamics. LÄS MER

  5. 4. Risk premia implied by derivative prices

    Master-uppsats, KTH/Matematisk statistik

    Författare :Richard Steffen; [2015]
    Nyckelord :;

    Sammanfattning : The thesis investigates the potential to recover the real world probabilities of an underlying asset from derivative prices by using the recovery approach developed in (Carr & Yu, 2012) and (Ross, 2011). For this purpose the VIX Index and US Treasury bills are used to recover the VIX dynamics and the short rate dynamics under the real world probability measure. LÄS MER

  7. 5. Mispricing Due to Nelson-Siegel-Svensson model

    Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Neda Kazemie; [2014]
    Nyckelord :;

    Sammanfattning : Most trading software in the market uses linear interpolation in the bootstrap procedure to create a zero coupon interest rate curve. Forward interest rate curves created by interpolation method have a zigzag form that is inconsistent with arbitrage condition. LÄS MER