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.
Results
Showing 1 to 5 of 5 for “"Stochastic interest rates"”.
-
Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck
… options (Karatzas (1988)) in an economy with stochastic interest rates. In particular, we consider an economy with Vasicek (1977) type interest rates.
-
Models for Interest Rates and Interest Rate Derivatives
… an introduction to the principles of modern interest rate theory. After covering the basic tools for working in an environment with stochastic interest rates, we introduce different models for the term structure. The principals of risk neutral pricing are introduced and the Black model is …
-
Essays on corporate bonds
… I then calibrate a .jump diffusion model and a stochastic volatility model, finding that the jump diffusion model weakly improves cross-sectional explanatory power while the stochastic volatility model does not. However, much of the cross-sectional variation in yield spreads remains unexplained …
-
Survivor bond models for securitizing longevity risk
… the risk that a reference population’s mortality rates deviate from what is projected from prior life tables. This is due to discoveries in biological sciences, improved public health measures, and nutrition, which have dramatically increased life expectancy. Longevity risk raises life insurers’ …