Add to ORKGThis paper discusses two types of basic interest rate models: the Vasicek model and CoxIngersoll-Ross model. The mathematics behind interest rate modeling is extremely complex, so this paper does not review proofs of the stochastic processes behind these models. Instead, the paper focuses on various techniques to estimate the parameters of the models. It also discusses the difficulties in creating and implementing these models using Microsoft Excel.Honors CollegeThesis (B.?.
Thesis advisor: Christopher BaumIn the first essay, a multiprocess mixture model (MM) is used to exp...
This thesis consists of two parts. The first part develops a new method of estimating multi-paramete...
This thesis is focused on the study of interest rates, It consists of four chapters. The first chapt...
Title: One factor interest rate models Author: Matúš Jambor Department: Department of Probability an...
In this dissertation, we consider the stochastic volatility of short rates, the jump property of sh...
In our complex financial world, interest is a common thread that binds everything together. This thr...
One of the first mathematical models to describe the interest rate over time was the Vasicek model (...
This synopsis of stochastic interest rates is here to provide the future actuary with some idea of t...
This thesis gives an introduction to the principles of modern interest rate theory. After covering t...
Title: Stochastic interest rates modeling Author: Jakub Černý Abstract: This present work studies di...
We present a study of mathematical models of interest rate products. After an introduction to the ma...
We emphasise on one of the first general equilibrium single-factor Cox-Ingersoll-Ross (1985b) term s...
A PhD Dissertation, presented as part of the requirements for the Degree of Doctor of Philosophy fro...
Title: Models for Forecasting Interest Rates with Application to Bond Portfolio Immunisation Author:...
This bachelor’s thesis focuses on a description of the interest rate models that are applied in the ...
Thesis advisor: Christopher BaumIn the first essay, a multiprocess mixture model (MM) is used to exp...
This thesis consists of two parts. The first part develops a new method of estimating multi-paramete...
This thesis is focused on the study of interest rates, It consists of four chapters. The first chapt...
Title: One factor interest rate models Author: Matúš Jambor Department: Department of Probability an...
In this dissertation, we consider the stochastic volatility of short rates, the jump property of sh...
In our complex financial world, interest is a common thread that binds everything together. This thr...
One of the first mathematical models to describe the interest rate over time was the Vasicek model (...
This synopsis of stochastic interest rates is here to provide the future actuary with some idea of t...
This thesis gives an introduction to the principles of modern interest rate theory. After covering t...
Title: Stochastic interest rates modeling Author: Jakub Černý Abstract: This present work studies di...
We present a study of mathematical models of interest rate products. After an introduction to the ma...
We emphasise on one of the first general equilibrium single-factor Cox-Ingersoll-Ross (1985b) term s...
A PhD Dissertation, presented as part of the requirements for the Degree of Doctor of Philosophy fro...
Title: Models for Forecasting Interest Rates with Application to Bond Portfolio Immunisation Author:...
This bachelor’s thesis focuses on a description of the interest rate models that are applied in the ...
Thesis advisor: Christopher BaumIn the first essay, a multiprocess mixture model (MM) is used to exp...
This thesis consists of two parts. The first part develops a new method of estimating multi-paramete...
This thesis is focused on the study of interest rates, It consists of four chapters. The first chapt...