DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kang, Wan-Mo | - |
dc.contributor.advisor | 강완모 | - |
dc.contributor.author | Bae, Su-Hyun | - |
dc.contributor.author | 배수현 | - |
dc.date.accessioned | 2011-12-14T04:56:53Z | - |
dc.date.available | 2011-12-14T04:56:53Z | - |
dc.date.issued | 2010 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=419030&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/42227 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 수리과학과, 2010.2, [ iii, 19 p. ] | - |
dc.description.abstract | We study some stochastic models for interest rates. We classify models into spot rate models and forward rate models. We give some examples such as Rendleman-Bartter model, Vasicek model, Cox-Ingersoll-Ross(CIR) model, and Heath-Jarrow-Morton(HJM) model. Also, we propose an interest rate model of the form $dR(t) = (\alpha_{-1}R^{-1}(t) - \alpha_0- \alpha_2 R^2(t))dt + \sigma R^{\gamma}(t)dW(t),$ where $\alpha_{-1}, \alpha_0, \alpha_2, \sigma >0,\gamma>1$ and $W(t)$ is a Brownian motion. This model is a slight modification of the model proposed by Ait-Sahalia [1] in 1992. In this model, it is non-trivial to show that there exist some analytic properties such as the existence and the uniqueness of its solution, boundedness of moments, and convergence of a numerical solution. We verify that our new model satisfies these analytic properties by modifying the proofs in papers of Wu et al. [11] and Cheng [2] in 2008. | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Ait-Sahalia model | - |
dc.subject | Interest rate models | - |
dc.subject | Stochastic Differential Equations | - |
dc.subject | 확률미분방정식 | - |
dc.subject | Ait-Sahalia 모형 | - |
dc.subject | 이자율 모형 | - |
dc.title | (A) study on stuchastic interest rate models | - |
dc.title.alternative | 이자율 모형에 대한 연구 : Ait-Sahalia 모형을 중심으로 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 419030/325007 | - |
dc.description.department | 한국과학기술원 : 수리과학과, | - |
dc.identifier.uid | 020074156 | - |
dc.contributor.localauthor | Kang, Wan-Mo | - |
dc.contributor.localauthor | 강완모 | - |
dc.title.subtitle | focusing on the Ait-sahalia model | - |
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