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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

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fulltext(1462 kB)13782 downloads
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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • 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