Original title: Analýza trhu úrokových měr
Translated title: Analysis of interest rate markets
Authors: Kvasničková, Eva ; Cipra, Tomáš (referee) ; Janeček, Karel (advisor)
Document type: Master’s theses
Year: 2008
Language: eng
Abstract: The aim of this thesis is to introduce probabilistic stochastic interest rate models in continuous time. Presented models are It^o processes defined by parameters, which are trying to describe interest rate behavior in the real world. For selected models we will discuss the di®erence between the forward and futures interest rates, called convexity adjustment. At the end of the thesis the analysis of arbitrage existence between interest rates and currency exchange rates, applied to the simplest Ho-Lee model, is presented.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/17289

Permalink: http://www.nusl.cz/ntk/nusl-293919


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses