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Showing 1 to 16 of 16 for “"Vasicek"”.
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An empirical comparison using both the term structure of interest rates and alternative models in pricing options on 90-day BAB futures
… that described the interest rate process was the Vasicek (1977) model. There have been many studies on the formulation of theoretical pricing models. Yet limited empirical research has been done in the area of actually testing the models. In this thesis we report the results of a set of tests of …
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Estimation of Shadow-Rate Term Structure Models Near the Zero-Lower Bound
… by Krippner (2013) and Priebsch (2013) for the Vasicek and ˇ arbitrage-free Nelson-Siegel (AFNS) models. We also investigate and compare the accuracy of the iterated extended Kalman filter (IEKF) with that of the unscented Kalman filter (UKF). We find that Krippner’s approach approximates …
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A hozamgörbe dinamikus becslése = Dynamic Estimation of the Term Structure
… dinamikáját, majd affin, azon belül is Vasicek típusú modelleket (lásd: Vasicek (1977)) kalibrálok Kálmán-filter segítségével, végül értékelem a kalibrált modellek előrejelző képességét. Empirikus tapasztalataim alapján a 3-faktoros Vasicek modell előnyös választás a magyar hozamgörbe …
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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
… In particular, we consider an economy with Vasicek (1977) type interest rates.
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Kalman Filtering and the Estimation of Multi-factor Affine Term Structure Models
… numerical experiments on the three-factor Vasicek and Arbitrage-free Nelson-Siegel (AFNS) models. The numerical experiments involve Kalman filtering as well as likelihood optimisation for parameter estimation. It was found that the parameter sets lead to the same short rate process and thus …
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Survivor bond models for securitizing longevity risk
… Devolder (2020) for the mortality model and the Vasicek model for evolution of interest rate. We detail how to develop the risk-neutral measure in pricing longevity bonds"--Abstract, page iv.</p>
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Modelling credit spreads in an illiquid South African corporate debt market
… well-known mean-reverting Ornstein-Uhlenbeck or Vasicek process, is introduced. This innovative approach creates a mathematically and intuitively sound relationship between the credit spread process and that of the stock price of the bond issuer. This key feature is used in a Bayesian methodology …
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Interest-Rate Option Pricing Accounting For Jumps At Deterministic Times
… examines this phenomenon in the context of a Vasicek short rate model and accounts for random-sized jumps at deterministic times following ideas similar to those introduced by Kim and Wright (2014). Finite difference methods are used successfully to find PDE solutions via backwards diffusion …
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Annuity Product Valuation and Risk Measurement under Correlated Financial and Longevity Risks
… rate modelling and prediction, and in the Vasicek model for capturing interest-rate movements. In the valuation and computation of risk measures for an annuity that are being carried out to satisfy regulatory requirements, the correlation structure between mortality and financial risks is …
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Credit Risk Evaluation : Modeling - Analysis - Management
… Portfolio View (McKinsey & Company) and the Vasicek-Kealhofer-model (KMV Corporation). Second, we develop the Credit Risk Evaluation model as an alternative risk model that overcomes a variety of deficiencies of the existing approaches. Third, we provide a series of new results about …
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Essays on Financial Accelerators and Macroprudential Policy
… framework - the portfolio loss distribution (Vasicek, 2002) and expands it by introducing macroeconomic amplification mechanisms known as financial accelerators. The resulting portfolio distribution shows large losses to be substantially more likely which increases the fragility of the …
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Signal Transduction and Transcriptional Regulation Pathways Essential for Azole Resistance in Candida albicans
<p>Candida albicans is the most prevalent human fungal pathogen, found as a commensal organism in the mucosa, gastrointestinal, and urogenital tracts of humans. This pathogenic fungus causes a wide spectrum of diseases, including the mucosal infection oropharyngeal candidiasis (OPC) which …
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Optimal Bond Refunding: Evidence From the Municipal Bond Market
… bonds that are never called. The generalized Vasicek (1977) model in the Heath, Jarrow, and Morton (1992) framework is used to construct binomial trees for interest rates, bond prices, and call option prices. The option pricing lattice is then used to compute the loss in value from sub-optimal …
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Application of Lie symmetries to Solving Partial Differential Equations associated with the Mathematics of Finance
… the usual models that are depended on the usual Vasicek model which has a disadvantage of producing negative interest rates. Our interest rate derivative PDE model is depended on the functional interest rate model that satisfies all properties of an interest rate model and produces positive …
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Credit risk modelling in Markovian HJM term structure class of models with stochastic volatility
… rate class of models, the Hull-White-Extended-Vasicek type of model is obtained in the defaultable setting from which an explicit bond pricing formula is derived. We then apply finite difference methods to price European options under two-state regimes. We give a summary of all the thesis …