Modelling of Short Term Interest Rate Based on Fractional Relaxation Equation
نویسندگان
چکیده
منابع مشابه
Modelling of Short Term Interest Rate Based on Fractional Relaxation Equation
In this paper, we try to model the dynamics of short term interest rate using the fractional nonhomogeneous differential equation with stochastic free term. This type of equation is similar to one which represents the viscoelastic behavior of certain materials from rheologic point of view. As a final result we obtain the closed formula for prices of zero-coupon bonds. They are analogous to thos...
متن کاملMacroeconomics in interest rate term structure modelling
This thesis uses a literature review to describe the latest progress in the models used to describe interest rate term structure (TS). The thesis emphasises macroeconomic variables and models, as these elements have become an essential part of TS modelling in the 21 st century. Although this type of literature review has not been conducted before, the rapid development of numerous kinds of mode...
متن کاملthe effects of keyword and context methods on pronunciation and receptive/ productive vocabulary of low-intermediate iranian efl learners: short-term and long-term memory in focus
از گذشته تا کنون، تحقیقات بسیاری صورت گرفته است که همگی به گونه ای بر مثمر ثمر بودن استفاده از استراتژی های یادگیری لغت در یک زبان بیگانه اذعان داشته اند. این تحقیق به بررسی تاثیر دو روش مختلف آموزش واژگان انگلیسی (کلیدی و بافتی) بر تلفظ و دانش لغوی فراگیران ایرانی زیر متوسط زبان انگلیسی و بر ماندگاری آن در حافظه می پردازد. به این منظور، تعداد شصت نفر از زبان آموزان ایرانی هشت تا چهارده ساله با...
15 صفحه اولA comprehensive analysis of the short-term interest-rate dynamics
This paper provides a comprehensive analysis of the short-term interest-rate dynamics based on three different data sets and two flexible parametric specifications. The significance of nonlinearity in the short-rate drift declines with increasing maturity for the interest-rate series used in the study. Using a flexible diffusion specification and incorporating GARCH volatility and non-normal in...
متن کاملInterest Rate Modelling
Spot Rate Models 3 Equivalent Martingale Measure (Reference Only) . . . . . . . . . . . . . . . . . . 3 Spot Rate Models: Ideas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 The Bond Price Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 Inversion of the Yield Curve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 Affine Term Structure Mo...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Acta Physica Polonica A
سال: 2008
ISSN: 0587-4246,1898-794X
DOI: 10.12693/aphyspola.114.613