Sökning: "Two-factor interest rate model"

Hittade 5 uppsatser innehållade orden Two-factor interest rate model.

  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. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jan Müller; [2022]
    Nyckelord :Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Sammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER

  4. 3. Numerical Analysis of Yield Curves Implied by Two-Factor Interest Rate Models

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Veronika Chronholm; [2021-06-15]
    Nyckelord :;

    Sammanfattning : Abstract We investigate the yield curves implied by coupon bonds in models where the market short rate is given by a two-factor stochastic model. Specifically, we investigate generalisations of the two-factor Vasicek, Cox-Ingersoll-Ross, and mixed models where the two Brownian motions that feature in each model are allowed to have nonzero constant correlation. LÄS MER

  5. 4. Factor Models For The Term Structure Of STIBOR Rates

    Kandidat-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jonatan Persson; [2021]
    Nyckelord :Interest rates; Time series; State space models; Mathematics and Statistics;

    Sammanfattning : The yield curve of a collection of debt contracts describes the yield of the debt contract as a function of the length-to-maturity of the contract. It turns out that these yield curves provide useful insight about the economy as a whole and can, for example, be used to predict short-term economic downturns. LÄS MER

  7. 5. An Assessment of the BGM-model Swap Option Pricing Performance in the Swedish Interest Rate Market

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Mikko Andersson; Fredrik Lööw; [2006]
    Nyckelord :Interest Rate Options; BGM-model; STIBOR;

    Sammanfattning : In this thesis the ability of a full-factor and a two-factor BGM-model to determine current and predict future plain-vanilla swaption prices issued on the Stockholm Interbank Offered Rate (STIBOR) is assessed. The study is conducted on daily data from January 4 to December 30, 2005. LÄS MER