Essays about: "ZAN MIAO"

Found 1 essay containing the words ZAN MIAO.

  1. 1. 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