Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/107344
Title: A theoretical study of a short rate model
Author: Calatayud Gregori, Julia
Director: Corcuera Valverde, José Manuel
Keywords: Matemàtica financera
Tipus d'interès
Tesis de màster
Bons
Business mathematics
Interest rates
Masters theses
Bonds
Issue Date: Jul-2016
Abstract: The goal of this project is to do a theoretical study of a short interest rate model under the risk neutral probability, which is able to represent long range dependence. In order to do this, it will be explained the necessary literature to understand the model. Furthermore, we will expose the consequences of adapting this model for evaluating bonds and derivatives. In order to do this, we will use ambit processes which in general are not semimartingales. Our purpose is to see if these new models can capture the features of the bond market by extending popular models like the Vasicek model.
Note: Treballs finals del Màster en Matemàtica Avançada, Facultat de matemàtiques, Universitat de Barcelona, Any: 2016, Director: José Manuel Corcuera Valverde
URI: http://hdl.handle.net/2445/107344
Appears in Collections:Màster - Matemàtica Avançada

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