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Tesi etd-06282017-111909


Thesis type
Tesi di laurea magistrale
Author
RAGUSA, MAURIZIO
URN
etd-06282017-111909
Title
Statistical Analysis and Mathematical Modeling of Interest Rates
Struttura
MATEMATICA
Corso di studi
MATEMATICA
Supervisors
relatore Prof. Pratelli, Maurizio
Parole chiave
  • Interest rates
Data inizio appello
14/07/2017;
Consultabilità
Completa
Riassunto analitico
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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