Essays about: "Two-factor interest rate model"
Found 5 essays containing the words Two-factor interest rate model.
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1. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor
University essay from KTH/Matematik (Avd.)Abstract : 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. READ MORE
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2. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread
University essay from Lunds universitet/Matematisk statistikAbstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE
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3. Numerical Analysis of Yield Curves Implied by Two-Factor Interest Rate Models
University essay from Göteborgs universitet/Institutionen för matematiska vetenskaperAbstract : 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. READ MORE
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4. Factor Models For The Term Structure Of STIBOR Rates
University essay from Lunds universitet/Matematisk statistikAbstract : The yield curve of a collection of debt contracts describes the yield of the debt contract as a function of the length-to-maturity of the contract. It turns out that these yield curves provide useful insight about the economy as a whole and can, for example, be used to predict short-term economic downturns. READ MORE
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5. An Assessment of the BGM-model Swap Option Pricing Performance in the Swedish Interest Rate Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this thesis the ability of a full-factor and a two-factor BGM-model to determine current and predict future plain-vanilla swaption prices issued on the Stockholm Interbank Offered Rate (STIBOR) is assessed. The study is conducted on daily data from January 4 to December 30, 2005. READ MORE