Sökning: "Vasicek short rate model"
Visar resultat 1 - 5 av 7 uppsatser innehållade orden Vasicek short rate model.
- Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper
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
- Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik
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
- Master-uppsats, Lunds universitet/Matematisk statistik
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
- Kandidat-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)
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
- 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