Lori Giurgola, Diego (A.A. 2024/2025) Calibration and empirical analysis of the Vasicek model. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 30. [Bachelor's Degree Thesis]

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Abstract/Index

Interest-rate benchmarks and the central role of €STR. €STR as today’s overnight benchmark. EURIBOR. Historical background. Key data features of €STR. EURIBOR features. Choice of modelling framework. Approaches to term-structure modelling. One-factor models. Zero-coupon bond price. Data and methodology. Dataset description. Vasicek solution. Itô’s lemma. Vasicek discretisation. Least squares (LS). Maximum likelihood estimation (MLE). Estimation. Estimated results. Overview. Estimated parameters. Simulated paths vs. actual €STR. Risk-neutral calibration (EURIBOR).

References

Bibliografia: pp. 29-30.

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:	2024/2025
Session:	Autumn
Deposited by:	Alessandro Perfetti
Date Deposited:	12 May 2026 07:43
Last Modified:	12 May 2026 07:43
URI:	https://tesi.luiss.it/id/eprint/45657

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