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Analýza generátorů ekonomických scénářů (zejména úrokových měr) / Economic Scenario Generator Analysis (short rates)

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.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:199059
Date January 2012
CreatorsŠára, Michal
ContributorsJaneček, Martin, Sitař, Milan
PublisherVysoká škola ekonomická v Praze
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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