Essays about: "Vasicek short rate model"
Showing result 1 - 5 of 9 essays containing the words Vasicek short 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. Modelling Non-Maturing Deposits: Examining the Impact of Repo Rates and Volume Dynamics on Valuation Using Regression, Time Series Analysis, and Vasicek Methods
University essay from KTH/Matematik (Avd.)Abstract : This thesis focuses on modelling non-maturing deposits (NMD) and has been written in collaboration with Svenska Handelsbanken. The methodology includes regression analysis and time series analysis, with the Repo rate serving as an exogenous variable in both models. 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. Modeling of non-maturing deposits
University essay from KTH/Matematisk statistikAbstract : The interest in modeling non-maturing deposits has skyrocketed ever since thefinancial crisis 2008. Not only from a regulatory and legislative perspective,but also from an investment and funding perspective.Modeling of non-maturing deposits is a very broad subject. READ MORE
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5. Interest rate modelling
University essay from Lunds universitet/Matematisk statistikAbstract : Many models have been developed throughout the years to describe the evolution of short term rates. One of the famous models is the Vasicek model. It was first introduced in 1977 and describes interest rates as a mean reversion process which is a specific characteristic that sets it apart from other financial assets. READ MORE