Short rate models in continuos time with focus on Vašíček mathematical model
Minciacchi, Alessandro (A.A. 2017/2018) Short rate models in continuos time with focus on Vašíček mathematical model. Tesi di Laurea in Mathematical finance, LUISS Guido Carli, relatore Sara Biagini, pp. 38. [Bachelor's Degree Thesis]
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Abstract/Index
Geberal characteristics and some particular assumptions regarding short rate models. Defining a term structure equation for short rate. Description of martingale models for the short sates. Approach to the estimation of the parameters of martingale models with particular focus on Vašíček model. Computation of Vašíček model term structure. Empirical evaluation of bond price through Vašíček model.
References
Bibliografia: pp. 37-38.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Mathematical finance |
| Thesis Supervisor: | Biagini, Sara |
| Academic Year: | 2017/2018 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 15 Jan 2019 10:37 |
| Last Modified: | 15 Jan 2019 10:37 |
| URI: | https://tesi.luiss.it/id/eprint/21869 |
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