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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Interest rate models
 Radič, Pavol ; Branda, Martin (advisor) ; Hurt, Jan (referee)
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.
Detailed record
Interest rate models
 Radič, Pavol ; Branda, Martin (advisor) ; Hurt, Jan (referee)
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.
Detailed record

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