Sökning: "Vasicek short rate model"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Vasicek short rate model.

  1. 1. 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 : AbstractWe investigate the yield curves implied by coupon bonds in models where the market shortrate is given by a two-factor stochastic model. Specifically, we investigate generalisationsof the two-factor Vasicek, Cox-Ingersoll-Ross, and mixed models where the two Brownianmotions that feature in each model are allowed to have nonzero constant correlation. LÄS MER

  2. 2. Modeling of non-maturing deposits

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

    Författare :Fredrik Stavrén; Nikita Domin; [2019]
    Nyckelord :Financial mathematics; time series analysis; replicating portfolio; risk management; risk analysis; econometric anaylsis; non-maturing deposits; SARIMA; Random forest regression; EBA; BCBS; Finansiell matematik; tidsserieanalys; replikeringsportfölj; riskhantering; riskanalys; Ekonometrisk analys; Icke-tidsbunden inlåning; ARIMA; SARIMA; SARIMAX; Random Forest Regression; EBA; BCBS;

    Sammanfattning : The interest in modeling non-maturing deposits has skyrocketed ever since thefinancial crisis 2008. Not only from a regulatory and legislative perspective,but also from an investment and funding perspective.Modeling of non-maturing deposits is a very broad subject. LÄS MER

  3. 3. Interest rate modelling

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Khalil el Adi; [2019]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : Many models have been developed throughout the years to describe the evolution of short term rates. One of the famous models is the Vasicek model. It was first introduced in 1977 and describes interest rates as a mean reversion process which is a specific characteristic that sets it apart from other financial assets. LÄS MER

  4. 4. CIR Modeling of Interest Rates

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

    Författare :ZAN MIAO; [2018]
    Nyckelord :;

    Sammanfattning : Short-term interest rate models within one-year financing maturity are considered. In this thesis, we mainly study two short-term interest rate models, the Cox-Ingersoll-Ross model (CIR model) and the Vasicek model. The CIR model is evaluated by numerical simulations based on applying the Euler approximation method and an exact algorithm. LÄS MER

  5. 5. 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