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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Testing and developing models for the term structure of interest rates

Ioannides, Michalis January 2000 (has links)
No description available.
2

A Market Model For Pricing Inflation Indexed Bonds With Jumps Incorporation

Guney, Ibrahim Ethem 01 August 2008 (has links) (PDF)
Protection against inflation is an essential part of the today&#039 / s financial markets, particularly in high-inflation economies. Hence, nowadays inflation indexed instruments are being increasingly popular in the world financial markets. In this thesis, we focus on pricing of the inflation-indexed bonds which are the unique inflation-indexed instruments traded in the Turkish bond market. Firstly, we review the Jarrow-Yildirim model which deals with pricing of the inflation-indexed instruments within the HJM framework. Then, we propose a pricing model that is an extension of the Jarrow-Yildirim model. The model allows instantaneous forward rates, inflation index and bond prices to be driven by both a standard Brownian motion and a finite number of Poisson processes. A closed-form pricing formula for an European call option on the inflation index is also derived.
3

TWO ESSAYS IN BAYESIAN PENALIZED SPLINES

LI, MIN 16 September 2002 (has links)
No description available.
4

Bezriziková výnosová míra ve výnosovém oceňování podniků / The Risk-free Rate of Return in The Income Valuation Approach

Plánička, Pavel January 2009 (has links)
The work deals with the theoretical basis and the practical approach for determining the risk-free rate of return. The aim of the work is to form recommendations which should analysts follow in determining the risk-free rate of return in the Czech Republic. The first part focuses on theoretical basis of risk-free rate of return and market interest rates. Further, the criteria of risk-free investments are defined in this chapter. The second and third part focuses on determination of the risk-free rate of return using yield to maturity of government bond and yield curve which was derived with using the Nelson-Siegel model. The table of forward rates at the end of each month from January 1999 to April 2010 is attached.

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