Essays about: "Nollkupongobligation"

Found 1 essay containing the word Nollkupongobligation.

  1. 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.)

    Author : Benjamin Neander; Victor Mattson; [2023]
    Keywords : Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

    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