| dc.contributor.advisor | Janeček, Karel | |
| dc.creator | Kvasničková, Eva | |
| dc.date.accessioned | 2017-04-12T10:08:42Z | |
| dc.date.available | 2017-04-12T10:08:42Z | |
| dc.date.issued | 2008 | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11956/17289 | |
| dc.description.abstract | The aim of this thesis is to introduce probabilistic stochastic interest rate models in continuous time. Presented models are It^o processes defined by parameters, which are trying to describe interest rate behavior in the real world. For selected models we will discuss the di®erence between the forward and futures interest rates, called convexity adjustment. At the end of the thesis the analysis of arbitrage existence between interest rates and currency exchange rates, applied to the simplest Ho-Lee model, is presented. | en_US |
| dc.language | English | cs_CZ |
| dc.language.iso | en_US | |
| dc.publisher | Univerzita Karlova, Matematicko-fyzikální fakulta | cs_CZ |
| dc.title | Analysis of interest rate markets | en_US |
| dc.type | diplomová práce | cs_CZ |
| dcterms.created | 2008 | |
| dcterms.dateAccepted | 2008-09-23 | |
| dc.description.department | Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| dc.description.department | Department of Probability and Mathematical Statistics | en_US |
| dc.description.faculty | Faculty of Mathematics and Physics | en_US |
| dc.description.faculty | Matematicko-fyzikální fakulta | cs_CZ |
| dc.identifier.repId | 45980 | |
| dc.title.translated | Analýza trhu úrokových měr | cs_CZ |
| dc.contributor.referee | Cipra, Tomáš | |
| dc.identifier.aleph | 001001675 | |
| thesis.degree.name | Mgr. | |
| thesis.degree.level | magisterské | cs_CZ |
| thesis.degree.discipline | Pravděpodobnost, matematická statistika a ekonometrie | cs_CZ |
| thesis.degree.discipline | Probability, mathematical statistics and econometrics | en_US |
| thesis.degree.program | Matematika | cs_CZ |
| thesis.degree.program | Mathematics | en_US |
| uk.thesis.type | diplomová práce | cs_CZ |
| uk.taxonomy.organization-cs | Matematicko-fyzikální fakulta::Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| uk.taxonomy.organization-en | Faculty of Mathematics and Physics::Department of Probability and Mathematical Statistics | en_US |
| uk.faculty-name.cs | Matematicko-fyzikální fakulta | cs_CZ |
| uk.faculty-name.en | Faculty of Mathematics and Physics | en_US |
| uk.faculty-abbr.cs | MFF | cs_CZ |
| uk.degree-discipline.cs | Pravděpodobnost, matematická statistika a ekonometrie | cs_CZ |
| uk.degree-discipline.en | Probability, mathematical statistics and econometrics | en_US |
| uk.degree-program.cs | Matematika | cs_CZ |
| uk.degree-program.en | Mathematics | en_US |
| thesis.grade.cs | Výborně | cs_CZ |
| thesis.grade.en | Excellent | en_US |
| uk.abstract.en | The aim of this thesis is to introduce probabilistic stochastic interest rate models in continuous time. Presented models are It^o processes defined by parameters, which are trying to describe interest rate behavior in the real world. For selected models we will discuss the di®erence between the forward and futures interest rates, called convexity adjustment. At the end of the thesis the analysis of arbitrage existence between interest rates and currency exchange rates, applied to the simplest Ho-Lee model, is presented. | en_US |
| uk.file-availability | V | |
| uk.publication.place | Praha | cs_CZ |
| uk.grantor | Univerzita Karlova, Matematicko-fyzikální fakulta, Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| dc.identifier.lisID | 990010016750106986 | |
