The thesis is concerned with a detailed examination of the most familiar short-rate models.Furthermore,it contains some author's own derivations of formulas for prices of interest rate derivatives and some relationships between certain discretizations of these short-rate models. These formulas are then used for calibration of ceratain chosen models to the actual market data.All the calculations are performed in R using author's own functions,which are along with the other more involved derivations placed in the appendix.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:199059 |
| Date | January 2012 |
| Creators | Šára, Michal |
| Contributors | Janeček, Martin, Sitař, Milan |
| Publisher | Vysoká škola ekonomická v Praze |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
Page generated in 0.0029 seconds