Sökning: "term structure of interest rates"

Visar resultat 6 - 10 av 30 avhandlingar innehållade orden term structure of interest rates.

  1. 6. Essays on the term structure of interest rates and monetary policy

    Författare :Magnus Dahlquist; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Penningpolitik; Ränta;

    Sammanfattning : This thesis consists of four empirical essays, summarized below.In “On Alternative Interest Rate Processes'' the interest rate dynamics for four European countries are studied. There seems to be a positive relation between the interest rate level and the volatility of interest rate changes. LÄS MER

  3. 7. Essays on term structure and monetary policy

    Författare :Sven Skallsjö; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This dissertation treats two different themes. The first, addressed in Chapter 1, regards the pricing of interest rate swaps. The second, studied in the remaining two chapters, regards the implications of monetary policy for the term structure of interest rates. LÄS MER

  4. 8. On monetary policy and interest rate determination in an open economy

    Författare :Lars Hörngren; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : Swedish financial markets, in particular the money market, have developed very rapidly during the 1980s. Concurrently, there has been an equally drastic change in the conduct of monetary policy and a shift away from the previous reliance on regulatory policy instruments. LÄS MER

  5. 9. Term structure estimation based on a generalized optimization framework

    Författare :Marcel Ndengo Rugengamanzi; Torbjörn Larsson; Jörgen Blomvall; Kristoffer Hägglöf; Linköpings universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : The current work is devoted to estimating the term structure of interest rates based on a generalized optimization framework. To x the ideas of the subject, we introduce representations of the term structure as they are used in nance: yield curve, discount curve and forward rate curve. LÄS MER

  7. 10. Four applications of stochastic processes : Contagious disease, credit risk, gambling and bond portfolios

    Författare :Patrik Andersson; Andreas Nordvall Lagerås; Håkan Andersson; Stewart N. Ethier; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Stochastic processes; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

    Sammanfattning : This thesis consists of four papers on applications of stochastic processes. In Paper I we study an open population SIS (Susceptible - Infective - Susceptible) stochastic epidemic model from the time of introduction of the disease, through a possible outbreak and to extinction. The analysis uses coupling arguments and diffusion approximations. LÄS MER