Short term models: the Vasicek and the CIR

Passarello, Pietro (A.A. 2020/2021) Short term models: the Vasicek and the CIR. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 56. [Bachelor's Degree Thesis]

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Abstract/Index

Probability. Measure spaces. Elements of probability. Stochastic processes. Economic theory. The short term rate. The term structure in short term rate models. The Vasicek model. The Cox, Ingersoll and Ross model. Affine term structure models. Parameters estimation and models simulation. The Cox, Ingersoll and Ross model. The Vasicek model.

References

Bibliografia: p. 51.

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: 2020/2021
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 17 Mar 2022 14:33
Last Modified: 17 Mar 2022 14:33
URI: https://tesi.luiss.it/id/eprint/31753

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