Sökning: "Bond prices"

Visar resultat 1 - 5 av 19 avhandlingar innehållade orden Bond prices.

  1. 1. Essays on the term structure of interest rates

    Författare :Magnus Hyll; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This volume contains five essays on topics related to interest rate theory.The first essay, Affine Term Structures and Short-Rate Realizations of Forward Rate Models Driven by Jump-Diffusion Processes, examines the problem of determining when a given forward rate model has a short-rate realization, and when a short-rate model gives rise to an affine term structure. LÄS MER

  3. 2. Credit risk and forward price models

    Författare :Raquel M Gaspar; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This thesis consists of three distinct parts. Part I introduces the basic concepts and the notion of general quadratic term structures (GQTS) essential in some of the following chapters. Part II focuses on credit risk models and Part III studies forward price term structure models using both the classical and the geometrical approach. LÄS MER

  4. 3. The Macroeconomics of the Term Structure of Interest Rates

    Författare :Paolo Zagaglia; Matthew Lindquist; Refet S. Gurkaynak; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; term structure of interest rates; monetary policy; money market; Economics; Nationalekonomi; Economics; nationalekonomi;

    Sammanfattning : This thesis consists of four papers, summarized as follows. "The Term Structure of Interest Rates and the Monetary Transmission Mechanism" This paper provides empirical evidence that the term structure of interest rates is an integral part of the monetary transmission mechanism. LÄS MER

  5. 4. Essays in empirical finance

    Författare :Magnus Andersson; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : Financial market analysis nowadays constitutes an important pillar in central banks' monetary policy considerations. This is because the inherently forward-looking properties of asset prices can provide policy-makers with valuable information about future macroeconomic prospects, as seen through the eyes of investors. LÄS MER

  7. 5. No Arbitrage Pricing and the Term Structure of Interest Rates

    Författare :Thomas Gustavsson; Jan Söderström; Peter Sehlin; Uppsala universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Nationalekonomi;

    Sammanfattning : This dissertation provides an introduction to the concept of no arbitrage pricing and probability measures. In complete markets prices are arbitrage-free if and only if there exists an equivalent probability measure under which all asset prices are martingales. This is only a slight generalization of the classical fair game hypothesis. LÄS MER