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]
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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: | 10 Feb 2021 15:30 |
| URI: | https://tesi.luiss.it/id/eprint/19577 |
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