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Description
  • This paper treats one-dimensional stochastic models of interest rates. We focused to Vasicek model and Cox-Ingersoll-Ross model which are still quite popular and provide their analysis and improved parameter estimation, based on exact integration of interpolated interest rates, with respect to real LIBOR data.
  • This paper treats one-dimensional stochastic models of interest rates. We focused to Vasicek model and Cox-Ingersoll-Ross model which are still quite popular and provide their analysis and improved parameter estimation, based on exact integration of interpolated interest rates, with respect to real LIBOR data. (en)
Title
  • Models of interest rate evolution - Vasicek and CIR models
  • Models of interest rate evolution - Vasicek and CIR models (en)
skos:prefLabel
  • Models of interest rate evolution - Vasicek and CIR models
  • Models of interest rate evolution - Vasicek and CIR models (en)
skos:notation
  • RIV/49777513:23520/09:00501888!RIV10-MSM-23520___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • S
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 327005
http://linked.open...ai/riv/idVysledku
  • RIV/49777513:23520/09:00501888
http://linked.open...riv/jazykVysledku
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  • parameter estimation; Interest rates; Vasicek model; CIR model (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [040138B541CA]
http://linked.open...v/mistoKonaniAkce
  • Bratislava, Slovenska Republika
http://linked.open...i/riv/mistoVydani
  • Bratislava
http://linked.open...i/riv/nazevZdroje
  • Aplimat 2009 : 8th international conference
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Otta, Josef
http://linked.open...vavai/riv/typAkce
http://linked.open...ain/vavai/riv/wos
  • 000272790800034
http://linked.open.../riv/zahajeniAkce
number of pages
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  • Slovenská technická univerzita v Bratislave
https://schema.org/isbn
  • 978-80-89313-31-0
http://localhost/t...ganizacniJednotka
  • 23520
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