Tesi etd-06282017-111909 |
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Tipo di tesi
Tesi di laurea magistrale
Autore
RAGUSA, MAURIZIO
URN
etd-06282017-111909
Titolo
Statistical Analysis and Mathematical Modeling of Interest Rates
Dipartimento
MATEMATICA
Corso di studi
MATEMATICA
Relatori
relatore Prof. Pratelli, Maurizio
Parole chiave
- Interest rates
Data inizio appello
14/07/2017
Consultabilità
Completa
Riassunto
In this thesis, interest rates on bond will be studied from a mathematical point of view. Starting from statistical observation of real interest rates curves, different types of models will be proposed. The arrival point of the dissertation will be a linear three factor model for the forward rate, obtained by computing the principal components of the curve. Another model proposed will be the Mercurio and Moraleda model.
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