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Testing and developing models for the term structure of interest ratesIoannides, Michalis January 2000 (has links)
No description available.
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A Market Model For Pricing Inflation Indexed Bonds With Jumps IncorporationGuney, Ibrahim Ethem 01 August 2008 (has links) (PDF)
Protection against inflation is an essential part of the today' / 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.
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TWO ESSAYS IN BAYESIAN PENALIZED SPLINESLI, MIN 16 September 2002 (has links)
No description available.
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Bezriziková výnosová míra ve výnosovém oceňování podniků / The Risk-free Rate of Return in The Income Valuation ApproachPlánička, 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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