Sökning: "stokastisk räntemodell"
Hittade 2 uppsatser innehållade orden stokastisk räntemodell.
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. 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
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