Sökning: "CIR model"

Hittade 4 avhandlingar innehållade orden CIR model.

  1. 1. Contributions to Numerical Solution of Stochastic Differential Equations

    Författare :Anders Muszta; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; adaptive method; change of time; CIR model; CKLS model; convergence order; Euler method; heavy-tailed SDE; hyperbolic SDE; geometric integration; global Lipschitz condition; Levy process; Lie group method; local Lipschitz condition; local martingales; mean reversion; Milstein method; numerical method; semimartingale; stochastic differential equation; stochastic Taylor expansion; strong approximation; symplectic integration; volatility induced stationarity; waveform relaxation; volatility induced stationarity;

    Sammanfattning : This thesis consists of four papers: Paper I is an overview of recent techniques in strong numerical solutions of stochastic differential equations, driven by Wiener processes, that have appeared the last then 10 years, or so. Paper II studies theoretical and numerical aspects of stochastic differential equations with so called volatility induced stationarity. LÄS MER

  3. 2. Papers on Econometric Models

    Författare :Evert Carlsson; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Macroeconometric; CIR; Options; Multicollinear; Inequality;

    Sammanfattning : Paper 1: Statistisk Tidskrift: The use of Macro-econometric models The first paper discusses the Gothenburg University Econometric System Study -GUESS model. The model was very dependent on the experience from the work on the STEP model of Ettlin and Lybeck. LÄS MER

  4. 3. 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

  5. 4. Empirical Essays on Financial Economics

    Författare :Henrik Degrér; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Swap Agreements; Default Risk; Economic Conditions Index; Finansiering; Financial science; Term Structure of Interest Rates;

    Sammanfattning : In the first essay of this thesis we develop a model for calculating the net expected value of a swap agreement subject to dual-default risk. The main explanatory variable for the net expected return of a swap is the default intensity of each party measured by the credit rating of the firm. LÄS MER