Sökning: "instantaneous interest rate"

Visar resultat 1 - 5 av 9 avhandlingar innehållade orden instantaneous interest rate.

  1. 1. Auri sacra fames : Interest Rates -- Prediction, Jumps and the Market Price of Risk

    Författare :Carl Wilkens; Mats Persson; Peter Sellin; Michael Bergman; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; instantaneous interest rate; fixed income market; asset pricing; derivative pricing; Economics; Nationalekonomi;

    Sammanfattning : This thesis consists of three essays investigating different aspects of interest rates."Prediction of Future Risk-Neutral Short-Term Interest Rate Densities: Can the Black, Derman and Toy Model Assist?" (Co-authored with David Vestin. LÄS MER

  3. 2. Multidimensional Markov-Functional and Stochastic Volatiliy Interest Rate Modelling

    Författare :Linus Kajsajunti; Handelshögskolan i Stockholm; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis consists of three papers in the area of interest rate derivatives modelling. The pricing and hedging of (exotic) interest rate derivatives is one of the most demanding and complex problems in option pricing theory and is of great practical importance in the market. LÄS MER

  4. 3. Chartist trading in exchange rate theory

    Författare :Carina Selander; Karl-Gustaf Löfgren; Anders Vredin; Umeå universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Chartist Trading; Foreign Exchange; Overshooting; Sterilized Intervention; Target Zone; Taylor Rules; Economics; Nationalekonomi;

    Sammanfattning : This thesis consists of four papers, of which paper 1 and 4 are co-written with Mikael Bask. Paper [1] implements chartists trading in a sticky-price monetary model for determining the exchange rate. It is demonstrated that chartists cause the exchange rate to "overshoot the overshooting equilibrium" of a sticky-price monetary model. LÄS MER

  5. 4. Flow instabilities in centrifugal compressors at low mass flow rate

    Författare :Elias Sundström; Mihai Mihaescu; KTH; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Centrifugal compressor; flow instabilities; rotational flows; rotating stall; surge; compressible Large Eddy Simulation; Engineering Mechanics; Teknisk mekanik;

    Sammanfattning : A centrifugal compressor is a mechanical machine with purpose to convert kineticenergy from a rotating impeller wheel into the fluid medium by compressingit. One application involves supplying boost air pressure to downsized internalcombustion engines (ICE). LÄS MER

  7. 5. Adaptation in multiple input multiple output systems with channel state information at transmitter

    Författare :Jinliang Huang; Svante Signell; Anders Ahlén; KTH; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; MIMO; adaptive modulation; power allocation; spectral efficiency; CSI; Electrical engineering; Elektroteknik;

    Sammanfattning : This thesis comprises two parts: the first part presents channel-adaptive techniques to achieve high spectral efficiency in a single user multiple-input multiple-output (MIMO) system; the second part exhibits a programmable and reconfigurable software-defined-radio orkbench(SDR-WB) in the Matlab/Octave environment that accommodates a variety of wireless applications. In an attempt to achieve high spectral efficiency, an adaptive modulation technique is applied at the transmitter to vary the data rate depending on the channel state information (CSI). LÄS MER