magistrsko delo
Maja Smrke (Author), Dejan Velušček (Mentor)

Abstract

Numerična integracija Heath-Jarrow-Morton modela obrestnih mer

Keywords

terminske obrestne mere;modeli HJM;izvedeni finančni instrumenti;neskončno razsežne parcialne stohastične diferencialne enačbe;

Data

Language: Slovenian
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [M. Smrke Humar]
UDC: 519.8
COBISS: 16694361 Link will open in a new window
Views: 887
Downloads: 500
Average score: 0 (0 votes)
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Other data

Secondary language: English
Secondary keywords: forward rates;HJM framework;interest rate derivatives;infinite dimensional partial differential stochastic equations;
Type (COBISS): Master's thesis/paper
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 2. stopnja
Pages: 68 str.
ID: 10911106