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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Hull-White model: forward-looking vs backward-looking approaches
 Kárný, Jakub ; Flimmel, Daniela (advisor) ; Večeř, Jan (referee)
The subject of the thesis is the estimation of the parameters of the Hull-White model. The formula for the time-dependent parameter θ is derived. The constant parameters α and σ are first calibrated on the prices of the chosen interest rate derivatives in the forward-looking approach and secondly on the historical yield curves in the backward- looking approach. Calibrated Hull-White models are simulated and then the approaches used are compared in terms of available data. 1
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Serial correlations in time series
 Kárný, Jakub ; Zichová, Jitka (advisor) ; Prášková, Zuzana (referee)
The subject of the thesis is the autocorrelation structure of time series. AR(1) process is studied as a special example. An estimator of the variance of the sample autocorre- lation is derived and its asymptotic properties are proved. We investigate the convergence of the variance estimates of sample autocorrelations in some simulated series. Further, the empirical significance level and power of selected autocorrelation tests are calculated. 1
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