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 7 of 7 for “"Interest rate models"”.
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Hedging performance of interest-rate models
… back-study which assesses the effectiveness of interest- rate modelling and the hedging of interest-rate derivatives. Caps that trade in the Johannesburg swap market are hedged using two short-rate models, namely the Hull and White (1990) one-factor model and the subsequent Hull and White (1994) …
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Three Essays on Modeling Financial Risk and Pricing Financial Assets
… and its applications to Heath-Jarrow-Morton interest rate models . This essay develops a nonparametric estimation framework for multifactor diffusion processes with multivariate diffusion functions and applies it to multifactor Heath-Jarrow-Morton interest rate models. The nonparametrically …
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Yield curving modelling and estimation
… As a first step, we discuss the most relevant interest rate models mentioned in the literature. We then pass onto discussing the most relevant estimation methods found in the literature and choose two of them to test empirically. Finally we draw conclusions on the results considering the …
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Implementing short-rate models with jumps at deterministic times
… announcements have a direct impact on short-term interest rates during a financial year. However, this is not directly reflected in the continuous-time interest rate models. In this paper, we work with short-rate models which include the possibility of jumps at deterministic times. An application …
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Modeling a Two-currency Affine Arbitrage-free Nelson-Siegel Term Structure Model
… overview of the most popular term structure of interest rate models. In order to understand different features of each model, we classify by means of general characteristics, from single-factor to multi-factor and forward rate based models. Each of these existing term structure models has its …
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Time-inhomogeneous Lévy processes in interest rate and credit risk models
In this thesis, we present interest rate models and a credit risk model, all driven <br>by time-inhomogeneous Lévy processes, i.e. stochastic processes whose increments <br>are independent but in general not stationary. <br> <br>In the interest rate part, we discuss a Heath-Jarrow-Morton forward …
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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 …