Sökning: "ZAN MIAO"

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  1. 1. 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