delo diplomskega seminarja
Vid Treven (Author), Mihael Perman (Mentor), Nika Novak (Co-mentor)

Abstract

Obrestne mere se v času spreminjajo in s tem povzročajo tveganja tako na strani upnikov, kot tudi dolžnikov. Za natančnejšo analizo tega tveganja moramo ekonomsko strukturo predstaviti z nekim matematičnim modelom. V delu smo si izbrali model, kjer ne dopuščamo arbitraže. Najprej analiziramo razne vrste obrestnih mer na splošno. Ugotovimo, kako naj bi se obnašale v danem modelu. Pogledamo si tudi, kakšne vrste obrestovanj poznamo in umestimo do takrat obravnavano zvezno obrestovanje. Pri bistvenem delu, ko obravnavamo finančne inštrumente za upravljanje tveganja, ki ga prinašajo obrestne mere, za lažjo predstavo uporabljamo navadno obrestovanje. S pomočjo primerov si pogledamo dogovore o obrestni meri, zamenjave in razne vrste zapcij. Matematično podrobneje opišemo zamenjavo s kapico in zamenjavo z dnom.

Keywords

obrestna mera;tveganje;arbitraža;

Data

Language: Slovenian
Year of publishing:
Typology: 2.11 - Undergraduate Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [V. Treven]
UDC: 519.2
COBISS: 206265603 Link will open in a new window
Views: 501
Downloads: 95
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Other data

Secondary language: English
Secondary title: Management of interest rate risk
Secondary abstract: Interest rates fluctuate over time, causing risks for both creditors and debtors. For a more precise analysis of this risk, we need to present an economic structure using a mathematical model. In our work, we have chosen a model that does not allow arbitrage. Firstly, we analyze various types of interest rates in general and determine their behavior within the given model. We also explore the different types of compounding and place the continuous compounding, discussed until then, into context. In the essential part, when dealing with financial instruments for managing the risks brought about by interest rates, we use simple compounding for easier representation. Through examples, we examine agreements on interest rates, swaps, and various types of swaptions. We provide a more detailed mathematical description of cap and floor swaps.
Secondary keywords: interest rate;risk;arbitrage;
Type (COBISS): Final seminar paper
Study programme: 0
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja
Pages: 30 str.
ID: 24910782