Sökning: "stochastic interest rate"
Visar resultat 1 - 5 av 33 uppsatser innehållade orden stochastic interest rate.
1. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor
Master-uppsats, KTH/Matematik (Avd.)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
2. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : The global foreign exchange (FX) market is one of the world's largest financial markets and a significant part of this market concerns the trading of FX swaps. For banks and other financial institutions, it is of great interest to model these swaps as accurately as possible, as this could improve their risk management. LÄS MER
3. Merton's Portfolio Problem under Grezelak-Oosterlee-Van Veeren Model
Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikationSammanfattning : Merton’s Optimal Investment-Consumption Problem is a classic optimization problem in finance. It aims to find the optimal controls for a portfolio with both risky and risk-less assets, inorder to maximize an investor’s utility function. LÄS MER
4. Stokastisk modellering och prognosticering inom livförsäkring : En dödlighetsundersökning på Länsförsäkringar Livs bestånd
Master-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenSammanfattning : Studier av livslängder och dödssannolikheter är avgörande för livförsäkring. Betalningar gällande livförsäkringar är helt beroende av om en individ lever eller ej, eller befinner sig i olika hälsotillstånd. LÄS MER
5. Optimal Capital Structures under the Vasicek Stochastic Interest Rate Model
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : This study applies the Vasicek stochastic interest rate model in order to determine optimal capital structures for listed firms. A Swedish interest rate data set is used to estimate Vasicek model parameter that are reliable and independent of initial start values. LÄS MER