Negative interest rates: how the existent financial models can fit with this new scenario? a focus on vasicek and CIR

Detalhes bibliográficos
Autor(a) principal: Compagnone, Silvia
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/27857
Resumo: My project work has the purpose to question on the use of financial models with this new scenario of negative interest rates. Precisely, the two models I am going to study are the Vasicek and CIR. First of all, the research will be focused on the analysis of them looking at both their limitations and strengths, and trying to make some needed and essential modifications for this shift in macroeconomic scenario. The entire work has the objective of understanding which are the economic agents affected and which are the future perspectives in this economic situation.
id RCAP_bf4b0a05f7df58f7668f0c6525236bb9
oai_identifier_str oai:run.unl.pt:10362/27857
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Negative interest rates: how the existent financial models can fit with this new scenario? a focus on vasicek and CIRNegative interest ratesVasicek and CIR modelsHull and WhiteNew macroeconomic policiesDomínio/Área Científica::Ciências Sociais::Economia e GestãoMy project work has the purpose to question on the use of financial models with this new scenario of negative interest rates. Precisely, the two models I am going to study are the Vasicek and CIR. First of all, the research will be focused on the analysis of them looking at both their limitations and strengths, and trying to make some needed and essential modifications for this shift in macroeconomic scenario. The entire work has the objective of understanding which are the economic agents affected and which are the future perspectives in this economic situation.Eça, Afonso FuzetaRUNCompagnone, Silvia2018-01-09T14:47:46Z2017-06-302017-06-30T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/27857TID:201752433enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:14:46Zoai:run.unl.pt:10362/27857Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:28:47.170474Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Negative interest rates: how the existent financial models can fit with this new scenario? a focus on vasicek and CIR
title Negative interest rates: how the existent financial models can fit with this new scenario? a focus on vasicek and CIR
spellingShingle Negative interest rates: how the existent financial models can fit with this new scenario? a focus on vasicek and CIR
Compagnone, Silvia
Negative interest rates
Vasicek and CIR models
Hull and White
New macroeconomic policies
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Negative interest rates: how the existent financial models can fit with this new scenario? a focus on vasicek and CIR
title_full Negative interest rates: how the existent financial models can fit with this new scenario? a focus on vasicek and CIR
title_fullStr Negative interest rates: how the existent financial models can fit with this new scenario? a focus on vasicek and CIR
title_full_unstemmed Negative interest rates: how the existent financial models can fit with this new scenario? a focus on vasicek and CIR
title_sort Negative interest rates: how the existent financial models can fit with this new scenario? a focus on vasicek and CIR
author Compagnone, Silvia
author_facet Compagnone, Silvia
author_role author
dc.contributor.none.fl_str_mv Eça, Afonso Fuzeta
RUN
dc.contributor.author.fl_str_mv Compagnone, Silvia
dc.subject.por.fl_str_mv Negative interest rates
Vasicek and CIR models
Hull and White
New macroeconomic policies
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Negative interest rates
Vasicek and CIR models
Hull and White
New macroeconomic policies
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description My project work has the purpose to question on the use of financial models with this new scenario of negative interest rates. Precisely, the two models I am going to study are the Vasicek and CIR. First of all, the research will be focused on the analysis of them looking at both their limitations and strengths, and trying to make some needed and essential modifications for this shift in macroeconomic scenario. The entire work has the objective of understanding which are the economic agents affected and which are the future perspectives in this economic situation.
publishDate 2017
dc.date.none.fl_str_mv 2017-06-30
2017-06-30T00:00:00Z
2018-01-09T14:47:46Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/27857
TID:201752433
url http://hdl.handle.net/10362/27857
identifier_str_mv TID:201752433
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799137913446858753

Registros relacionados