Original title: Modely úrokových měr
Translated title: Interest rate models
Authors: Radič, Pavol ; Branda, Martin (advisor) ; Hurt, Jan (referee)
Document type: Bachelor's theses
Year: 2012
Language: slo
Abstract: [eng] [cze]
This thesis deals with modeling the development of interest rates. It discusses the most popular models of short interest rate. It focuses in detail on widely known short-rate models, i.e. Vašíček, CIR and Ho & Lee model where the dynamics of the system is described by stochastic diferential equation. The next section offers dealing with the calibration and the creation of a binomial interest rate tree. The main purpose of this work is to describe different stochastic models of interest rates and compare them with each other. Práca študuje modelovanie vývoja úrokovej miery. Pojednáva o najznámejších modeloch okamžitej úrokovej miery. Podrobnejšie sa zaoberá Vašíčkovím, CIR a Ho & Lee modelom, kde je dynamika systému zadaná stochastickou diferenciálnou rovnicou. Ďalej rieši kalibráciu a tvorbu binomického úrokového stromu. Cieľom práce je popísať a porovnať medzi sebou rôzné stochastické modely úrokových mier.
Keywords: Binomial interest rate tree; Short-rate models; Zero-coupon bond; Bez-kupónový dlhopis; Binomický úrokový strom; Modely okamžitej úrokovej miery

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/40291

Permalink: http://www.nusl.cz/ntk/nusl-467331


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