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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