Zur Kurzanzeige

2009-05-12Diplomarbeit DOI: 10.18452/14098
Models for Interest Rates and Interest Rate Derivatives
dc.contributor.authorGroth, Lasse
dc.date.accessioned2017-06-18T02:19:34Z
dc.date.available2017-06-18T02:19:34Z
dc.date.created2009-05-25
dc.date.issued2009-05-12
dc.identifier.urihttp://edoc.hu-berlin.de/18452/14750
dc.descriptionzugl. Masterarb. von Li Sun
dc.description.abstractThis thesis gives an introduction to the principles of modern interest rate theory. After covering the basic tools for working in an environment with stochastic interest rates, we introduce different models for the term structure. The principals of risk neutral pricing are introduced and the Black model is derived. Closed form bond valuation equations are derived for the Cox, Ingersoll and Ross (CIR) model. Short examples of calibration of the Vasicek, CIR and LIBOR market model are given.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleModels for Interest Rates and Interest Rate Derivatives
dc.typemasterThesis
dc.identifier.urnurn:nbn:de:kobv:11-10097796
dc.identifier.doihttp://dx.doi.org/10.18452/14098
dc.identifier.alephidHU004249027
dc.contributor.refereeHärdle, Wolfgang Karl
local.edoc.pages61
local.edoc.type-nameDiplomarbeit
bua.departmentWirtschaftswissenschaftliche Fakultät

Zur Kurzanzeige