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A Relative Research of the Vasicek and the CIR Model

dc.contributor.advisorGiannopoulos, Kostas
dc.contributor.authorChristoforou, Nektaria
dc.description.abstractRecent years have seen the development of theoretical models of the structure of interest rate models. The modeling and forecasting of interest rates is an especially prime and challenging. It is one of the most prime indicators for pricing potential claims, identifying capital costs and managing financial risk. As an effect, extensive research has been developed in this area. The purpose of this thesis of the term structure of interest rates is to analyze and present the relationships between them. The last fifty years, financial economists have turned their interest especially in this field of research which is particularly important for the conduct of monetary policy. In the first chapter of the survey we are investigating the structure of interest rates theoretically. In particular, general introductory elements of the interest rate structure are presented, basic definitions are provided, and the maturity theories accompanying these correlations are presented. At the same time, a detailed bibliographic review is made on the structure of interest rates and on their evolution and a brief review of the models to be followed. In the second chapter I start with a brief description of the interest rate models. Then I compare the models to each other, quote how their differential equations come out, I present the single factor interest rate models in detail for these models. In the third chapter of the research using the models of Vasicek and Cox- Ingersoll -Ross examined the empirical application whether specific rates covariate with the passage of time in the secondary market of US money. Also compare the two methods together.en_UK
dc.publisherBusiness Administration Programm, School of Economic Sciences and Business, Neapolis University Pafosen_UK
dc.rightsΑπαγορεύεται η δημοσίευση ή αναπαραγωγή, ηλεκτρονική ή άλλη χωρίς τη γραπτή συγκατάθεση του δημιουργού και κάτοχου των πνευματικών δικαιωμάτωνen_UK
dc.subjectResearch Subject Categories::SOCIAL SCIENCES::Business and economicsen_UK
dc.subjectVasicek modelen_UK
dc.subjectCIR modelen_UK
dc.subjectempirical analysisen_UK
dc.subjectinterest rate modelsen_UK
dc.titleA Relative Research of the Vasicek and the CIR Modelen_UK

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