Modeli kratkoročnih kamatnih stopa

Čuljak, Maria (2015) Modeli kratkoročnih kamatnih stopa. Diploma thesis, Faculty of Science > Department of Mathematics.

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Abstract

In this master thesis we were working on estimation of financial instruments, precisely, bond option pricing. First chapter gives introduction, characterization and properties of the main financial instruments. In the second and third chapter we give main results necessary for understanding of arbitrage theory of Brownian financial markets. We annotate important theorems regarding stochastic calculus. First stochastic models were the short rate models. Fourth chapter gives introduction in the diffusion of short rate models and analysis of the Vasiček and CIR affine models. In the fifth chapter we observe T−bonds. Standard numeraire (American dollar, euro etc.) we substitute with the T−bond. Process of switching a numeraire is standard in the industry for bond option pricing and it is giving us an introduction into the last chapter. Sixth chapter is an example where we use Vasiček’s model for ATM option pricing.

Item Type: Thesis (Diploma thesis)
Supervisor: Huzak, Miljenko
Date: 2015
Number of Pages: 38
Subjects: NATURAL SCIENCES > Mathematics
Divisions: Faculty of Science > Department of Mathematics
Depositing User: Iva Prah
Date Deposited: 07 Oct 2015 11:39
Last Modified: 07 Oct 2015 11:39
URI: http://digre.pmf.unizg.hr/id/eprint/4259

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