|
|
Stochastic interest rates modeling
Černý, Jakub ; Witzany, Jiří (advisor) ; Hurt, Jan (referee)
Title: Stochastic interest rates modeling Author: Jakub Černý Abstract: This present work studies different stochastic models of interest rates. Theoretical part of this work describes short-rate models, HJM fra- mework and LIBOR Market model. It focuses in detail on widely known short-rate models, i.e. Vašíček, Hull-White and Ho-Lee model, and on LI- BOR Market model. This part ends by valuation of interest rate options and model calibration to real data. Analytical part of the work analyses valuation of real non-standard interest rate derivative using different models. Part of this derivative valuation is comparison among models in terms of general valuation and also in terms of capturing the dynamics of interest rates. The aim of this work is to describe different stochastic models of interest rates and mainly to compare them with each other.
|
|
|
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.
|
|
|
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.
|
|
|
Stochastic interest rates modeling
Černý, Jakub ; Witzany, Jiří (advisor) ; Hurt, Jan (referee)
Title: Stochastic interest rates modeling Author: Jakub Černý Abstract: This present work studies different stochastic models of interest rates. Theoretical part of this work describes short-rate models, HJM fra- mework and LIBOR Market model. It focuses in detail on widely known short-rate models, i.e. Vašíček, Hull-White and Ho-Lee model, and on LI- BOR Market model. This part ends by valuation of interest rate options and model calibration to real data. Analytical part of the work analyses valuation of real non-standard interest rate derivative using different models. Part of this derivative valuation is comparison among models in terms of general valuation and also in terms of capturing the dynamics of interest rates. The aim of this work is to describe different stochastic models of interest rates and mainly to compare them with each other.
|
guest ::
