A study and simulations of short interest rates and some effects on the market instruments using Vasicek Model

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dc.contributor.advisorGÁLL, József
dc.contributor.authorSukkar, Izzat
dc.contributor.departmentDE--Természettudományi és Technológiai Kar--Matematikai Intézet
dc.date.accessioned2025-06-20T07:15:41Z
dc.date.available2025-06-20T07:15:41Z
dc.date.created2025-05-09
dc.description.abstractStudying the movements of short interest rates is a very important research field. Almost all banks and investment institutes borrow or lend money with floating interest rates. Thus, this study is essential to measure the risk and hedge it or to speculate a possible gain in the future. In this work we will focus on researching the short interest rates movements using Vasicek model and review some other models. Simulations for the interest rates and market instruments are presented using the Vasicek model in R.
dc.description.courseApplied Mathematics, MSc
dc.description.degreeMSc/MA
dc.format.extent35
dc.identifier.urihttps://hdl.handle.net/2437/393977
dc.language.isoen
dc.rights.infoHozzáférhető a 2022 decemberi felsőoktatási törvénymódosítás értelmében.
dc.subjectshort interest rates
dc.subjectVasicek Model
dc.subject.dspaceMathematics
dc.titleA study and simulations of short interest rates and some effects on the market instruments using Vasicek Model
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