Some Short Rate Interest  Models and Related Asset Pricing

dc.contributor.advisor	G´all, Mih´aly J´ozsef
dc.contributor.author	Sammy, Raphael Mutinda
dc.contributor.department	DE--Természettudományi és Technológiai Kar--Matematikai Intézet
dc.date.accessioned	2024-06-11T07:43:54Z
dc.date.available	2024-06-11T07:43:54Z
dc.date.created	2024-05-02
dc.description.abstract	This thesis provides a deep overview of a research conducted on short rate interest models and asset pricing methods to help in pricing bonds and related assets. We shall consider a continuous market setup and by use of available data in the market, we shall test the functionality of Vasicek Model of interest rate models for various interesting properties. We shall use Monte Carlo simulation to make some predictions and conclusions. The main result expected is the term structure or the yield curve of the interest rates and a fair price of a given bond considered in any bond market. We shall investigate bond option pricing as well.
dc.description.course	Msc Applied Mathematics
dc.description.degree	MSc/MA
dc.format.extent	42
dc.identifier.uri	https://hdl.handle.net/2437/371341
dc.language.iso	en
dc.rights.access	Hozzáférhető a 2022 decemberi felsőoktatási törvénymódosítás értelmében.
dc.subject	Zero coupon bonds
dc.subject	Vasicek Model
dc.subject	Monte Carlo Simulation
dc.subject.dspace	Mathematics
dc.title	Some Short Rate Interest Models and Related Asset Pricing

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