Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 6 of 6 for “"CIR model"”.
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Calibrating Term Structure Models to an Initial Yield Curve
The modelling of the short rate offers many advantages, with the models explored in this dissertation all offering closed-form, analytic formulae for bond prices and for options on bonds. Often, a vital primary condition is for a model to be calibrated to the initial term structure and to recover …
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CKLS modelio silpnosios aproksimacijos diskrečiaisiais atsitiktiniais dydžiais /
… of the CKLS (Chan–Karolyi–Longstaff–Sanders) model that would use only generation of discrete random variables at each approximation step. CKLS model was introduced in 1992 and is widely used for modeling interest rates and prices of options and bonds. Particular cases of the model are the …
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Weak approximations of CKLS model by discrete random variables /
… of the CKLS (Chan–Karolyi–Longstaff–Sanders) model that would use only generation of discrete random variables at each approximation step. CKLS model was introduced in 1992 and is widely used for modeling interest rates and prices of options and bonds. Particular cases of the model are the …
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Essays on Term Structures
… relative goodness of fit of two term structure models, the Cox, Ingersoll and Ross (CIR hereafter) 2-factor model and a two factor essentially affine model, EA1(2). The latter model generates correlation between the factors and time-varying risk premia. However these characteristics increase the …
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Empirical Essays on Financial Economics
In the first essay of this thesis we develop a model for calculating the net expected value of a swap agreement subject to dual-default risk. The main explanatory variable for the net expected return of a swap is the default intensity of each party measured by the credit rating of the firm. We …
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Empirical analysis and forecasting of yield curves
In this thesis, we focus on term structure models. An accurate estimate of the current term structure of interest rates plays an important role in many areas of finance. In addition, it is important to forecast the futures term structure. Therefore, a lot of research work is devoted to determining …