Essays about: "Vasicek model for short rate"

Showing result 1 - 5 of 6 essays containing the words Vasicek model for short rate.

  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

  3. 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.)

    Author : Alexandra Benckert; My Loft; [2023]
    Keywords : Non-maturing deposits; ARIMAX model; Regression analysis; Deposit volume modelling; Vasicek model for short rate; Interest rate sensitivity; Valuation of non-maturing deposits.; Icke tidsbunden inlåning; ARIMAX-modellen; Regressionsanalys; Modellering av inlåningsvolym; Vasicek-modellen för kort ränta; Räntekänslighet; Värdering av icke tidsbunden inlåning.;

    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

  4. 3. CIR Modeling of Interest Rates

    University essay from Linnéuniversitetet/Institutionen för matematik (MA)

    Author : ZAN MIAO; [2018]
    Keywords : ;

    Abstract : Short-term interest rate models within one-year financing maturity are considered. In this thesis, we mainly study two short-term interest rate models, the Cox-Ingersoll-Ross model (CIR model) and the Vasicek model. The CIR model is evaluated by numerical simulations based on applying the Euler approximation method and an exact algorithm. READ MORE

  5. 4. Short-Term Interest Rate Models: An Application of Different Models in Multiple Countries

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Yajie Zhao; Boru Wang; [2017]
    Keywords : The Vasicek model; the CIR model; General Method of Moments.; Business and Economics;

    Abstract : The purpose of this study is to compare the different short-term interest rate models, and to identify the better model within multiple countries. We selected three different types of data from the United States, the United Kingdom, and New Zealand. READ MORE

  6. 5. A framework for modeling the liquidity and interest rate risk of demand deposits

    University essay from KTH/Matematisk statistik

    Author : Peter Henningsson; Christina Skoglund; [2016]
    Keywords : Non-maturing liabilities; Liquidity risk; Interest rate risk; Vasicek short rate model; Deposit volume modeling; Deposit rate modeling; Valuation of demand deposits;

    Abstract : The objective of this report is to carry out a pre-study and develop a framework for how the liquidity and interest rate risk of a bank's demand deposits can be modeled. This is done by first calibrating a Vasicek short rate model and then deriving models for the bank's deposit volume and deposit rate using multiple regression. READ MORE