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Statements

Subject Item
n2:RIV%2F49777513%3A23520%2F09%3A00501888%21RIV10-MSM-23520___
rdf:type
n5:Vysledek skos:Concept
dcterms: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.
dcterms:title
Models of interest rate evolution - Vasicek and CIR models Models of interest rate evolution - Vasicek and CIR models
skos:prefLabel
Models of interest rate evolution - Vasicek and CIR models Models of interest rate evolution - Vasicek and CIR models
skos:notation
RIV/49777513:23520/09:00501888!RIV10-MSM-23520___
n3:aktivita
n9:S
n3:aktivity
S
n3:dodaniDat
n11:2010
n3:domaciTvurceVysledku
n17:4232054
n3:druhVysledku
n20:D
n3:duvernostUdaju
n13:S
n3:entitaPredkladatele
n10:predkladatel
n3:idSjednocenehoVysledku
327005
n3:idVysledku
RIV/49777513:23520/09:00501888
n3:jazykVysledku
n19:eng
n3:klicovaSlova
parameter estimation; Interest rates; Vasicek model; CIR model
n3:klicoveSlovo
n6:CIR%20model n6:Interest%20rates n6:Vasicek%20model n6:parameter%20estimation
n3:kontrolniKodProRIV
[040138B541CA]
n3:mistoKonaniAkce
Bratislava, Slovenska Republika
n3:mistoVydani
Bratislava
n3:nazevZdroje
Aplimat 2009 : 8th international conference
n3:obor
n14:BA
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:rokUplatneniVysledku
n11:2009
n3:tvurceVysledku
Otta, Josef
n3:typAkce
n4:WRD
n3:wos
000272790800034
n3:zahajeniAkce
2009-02-06+01:00
s:numberOfPages
9
n7:hasPublisher
Slovenská technická univerzita v Bratislave
n18:isbn
978-80-89313-31-0
n16:organizacniJednotka
23520