Essays about: "Veronika Chronholm"

Found 1 essay containing the words Veronika Chronholm.

  1. 1. Numerical Analysis of Yield Curves Implied by Two-Factor Interest Rate Models

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Veronika Chronholm; [2021-06-15]
    Keywords : ;

    Abstract : 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