Negative interest rates: how the existent financial models can fit with this new scenario? A focus on Vasicek and CIR

Compagnone, Silvia (A.A. 2016/2017) Negative interest rates: how the existent financial models can fit with this new scenario? A focus on Vasicek and CIR. Tesi di Laurea in Advanced financial mathematics, LUISS Guido Carli, relatore Gaia Barone, pp. 64. [Master's Degree Thesis]

[img] PDF (Full text)
Restricted to Registered users only

Download (10MB) | Request a copy

Abstract/Index

Negative interest rates and deflation. Thoughts and reactions of the economic agents. Literature review. An equilibrium characterization of the term structure-O. Vasicek. Implementation of the models. Analysis and construction of the first development. A study of the volatility (σ).

References

Bibliografia: pp. 45-47.

Thesis Type: Master's Degree Thesis
Institution: LUISS Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Management, english language (LM-77)
Chair: Advanced financial mathematics
Thesis Supervisor: Barone, Gaia
Thesis Co-Supervisor: Pirra, Marco
Academic Year: 2016/2017
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 12 Oct 2017 13:15
Last Modified: 12 Oct 2017 13:15
URI: https://tesi.luiss.it/id/eprint/19577

Downloads

Downloads per month over past year

Repository Staff Only

View Item View Item