Pregled bibliografske jedinice broj: 32430
Diffusion processes in modelling the term structure of interest rates
Diffusion processes in modelling the term structure of interest rates // Proceedings of the 7th International Conference on Operational Research / Aganović, I. ; Hunjak, T. ; Scitovski, R. (ur.).
Osijek: Hrvatsko društvo za operacijska istraživanja (CRORS), 1999. str. 53-60 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
CROSBI ID: 32430 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Diffusion processes in modelling the term structure of interest rates
Autori
Aljinović, Zdravka
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
Proceedings of the 7th International Conference on Operational Research
/ Aganović, I. ; Hunjak, T. ; Scitovski, R. - Osijek : Hrvatsko društvo za operacijska istraživanja (CRORS), 1999, 53-60
Skup
7th International Conference on Operational Research
Mjesto i datum
Rovinj, Hrvatska, 30.09.1998. - 02.10.1998
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
term structure of interest rates; single-factor diffusion models; spot interest rate; Ito stochastic differential equation; Ito's lemma; valuation of IRS securities
Sažetak
Some of the main contributions to the so-called new term structure theory are presented, showing how stochastic processes, specially diffusion processes, and stochastic differential equations are used in the single-factor models for interest rates, based on the no-arbitrage principle. The main result in the paper is the partial differential equation which can be used to price any interest rate sensitive (IRS) asset.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
POVEZANOST RADA
