Original title: Modely úrokových měr ve spojitém čase
Translated title: Interest rates models in continous time
Authors: Garajová, Jana ; Dostál, Petr (referee) ; Cipra, Tomáš (advisor)
Document type: Master’s theses
Year: 2006
Language: eng
Abstract: The core of this work is to introduce the probabilistic techniques used in widely applied financial models and to formulate the term structure of interest rates using the continuous-time no-arbitrage framework. Stochastic processes in this work are mean-reverting, because over the long time horizon, interest rates have the tendency to revert to their average long-term levels. All the short rate models explained are Ito processes based on the Brownian motion, which onebyone define the parameters to best represent the real behavior of interest rates in continuous time. Examples and graphs are provided for illustration of the key results.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/4465

Permalink: http://www.nusl.cz/ntk/nusl-267267


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses