Sökning: "Veronika Chronholm"

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  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 : 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