Analyzing Some Theoretical Properties of Affine Term Structure Models
Absztrakt
Investigating the stochastic nature of continuous short rate models under Vasicek and Cox, Ingersoll and Ross model. Using monte carlo to simulate the future path of the interest rates, I then proceed to price interest rate derivatives
Leírás
Kulcsszavak
Short Rate Models, Interest Rate Models, Affine Term Structure, Vasicek Model, Cox,Ingersoll and Ross Model