Thesis etd-06282017-111909 |
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Thesis type
Tesi di laurea magistrale
Author
RAGUSA, MAURIZIO
URN
etd-06282017-111909
Thesis title
Statistical Analysis and Mathematical Modeling of Interest Rates
Department
MATEMATICA
Course of study
MATEMATICA
Supervisors
relatore Prof. Pratelli, Maurizio
Keywords
- Interest rates
Graduation session start date
14/07/2017
Availability
Full
Summary
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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| Nome file | Dimensione |
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| Tesi.pdf | 1.56 Mb |
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