Sökning: "Zero-coupon bond"

Hittade 4 uppsatser innehållade orden Zero-coupon bond.

  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. Investigation of portfolio strategies by means of simulation

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Alexander Schälin; [2022-07-01]
    Nyckelord :Constant proportion portfolio insurance; Option based portfolio insurance; Irrational fraction brownian motion; Constant elasticity of variance; Ho-Lee; Black- Derman-Toy;

    Sammanfattning : Portfolio insurance strategies are constructed to limit an investors loss but still reward them when the market goes up. In this thesis we compare two portfolio insurance strategies, Constant proportion portfolio insurance (CPPI) and Option based portfolio insurance. 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. Comparison of Multivariate GARCH Models with Application to Zero-Coupon Bond Volatility

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Wenjing Su; Yiyu Huang; [2010]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : The purpose of this thesis is to investigate different formulations of multivariate GARCH models and to apply two of the popular ones – the BEKK- GARCH model and the DCC- GARCH model – in evaluating the volatility of a portfolio of zero-coupon bonds. Multivariate GARCH models are considered as one of the most useful tools for analyzing and forecasting the volatility of time series when volatility fluctuates over time. LÄS MER