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 “"Vasicek model"”.
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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
… rates and the maturities of bonds. The first model 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 …
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Estimation of Shadow-Rate Term Structure Models Near the Zero-Lower Bound
… to use standard Gaussian term structure models for term structure modelling, this becomes theoretically implausible in cases when nominal interest rates are near zero: Gaussian models can have arbitrarily large negative rates, whereas arbitrage considerations dictate that rates should …
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Survivor bond models for securitizing longevity risk
… products, we present an additive type mortality model in the style of the Lee-Carter. This model incorporates policyholder covariates. By using counting processes and martingale machinery, we obtain close form representations for the model’s unknowns. We use the bond pricing approach from Wills …
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Annuity Product Valuation and Risk Measurement under Correlated Financial and Longevity Risks
… rates and must be taken into account when modelling their joint dynamics. In this thesis, we model and examine the impact of nonlinearity and correlation on an annuity product. A regime-switching approach to address nonlinearity is embedded both in the Lee-Carter model for mortality rate …
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Application of Lie symmetries to Solving Partial Differential Equations associated with the Mathematics of Finance
… the explicit solutions of the financial market models can be used as benchmarks for testing numerical methods of physical experiments. This fact is evidenced by the work of economists Black and Scholes, the Black-Scholes model, whereby they deduced the financial models from solving a linear …