Essays about: "stokastisk räntemodell"

Found 2 essays containing the words stokastisk räntemodell.

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. Optimal Capital Structures under the Vasicek Stochastic Interest Rate Model

   University essay from KTH/Matematik (Avd.)

   Author : Oscar Danielson; Tom Hagéus; [2023]
   Keywords : Vasicek model; stochastic interest rate model; optimal capital structures; tax benefits; bankruptcy costs; transaction costs; optimal leverage ratio; optimal debt maturity; Vasicekmodell; stokastisk räntemodell; optimala kapitalstrukturer; skattefördelar; konkurskostnader; transaktionskostnader; optimal belåningsgrad; optimal löptid;

   Abstract : This study applies the Vasicek stochastic interest rate model in order to determine optimal capital structures for listed firms. A Swedish interest rate data set is used to estimate Vasicek model parameter that are reliable and independent of initial start values. READ MORE