lnu.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
CIR Modeling of Interest Rates
Linnaeus University, Faculty of Technology, Department of Mathematics.
2018 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Short-term interest rate models within one-year financing maturity are considered. In this thesis, we mainly study two short-term interest rate models, the Cox-Ingersoll-Ross model (CIR model) and the Vasicek model. The CIR model is evaluated by numerical simulations based on applying the Euler approximation method and an exact algorithm. By using an ordinary least squares method we can find an initial start value for implementation of a numerical estimate of parameters that maximize the likelihood. Similarly applying those methods to the Vaˇs ́ıˇcek model, we compare the two models with empirical data based on three-month money market rates. 

Place, publisher, year, edition, pages
2018.
National Category
Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-79154OAI: oai:DiVA.org:lnu-79154DiVA, id: diva2:1270329
Subject / course
Mathematics
Educational program
Applied Mahtematics Programme, 180 credits
Presentation
2018-10-05, 13:30 (English)
Supervisors
Examiners
Available from: 2018-12-13 Created: 2018-12-13 Last updated: 2018-12-13Bibliographically approved

Open Access in DiVA

fulltext(1462 kB)413 downloads
File information
File name FULLTEXT01.pdfFile size 1462 kBChecksum SHA-512
f77be5f20a95be520cc41d97063fd6247ae3eb0f56a2f2fc36c1104fb75a4cfc0f42d52b82d33e6ffbac73f9fe94e6f7041e03a0a5fdae718a51b7724d0ddc82
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
MIAO, ZAN
By organisation
Department of Mathematics
Mathematics

Search outside of DiVA

GoogleGoogle Scholar
Total: 413 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 79 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf