Konzistentne familije krivulja za modele kamatnih stopa

master's thesis

• Author: Silvia Franović
• Mentor: Igor Velčić (mentor)
• Committee member: Igor Velčić (predsjednik povjerenstva)
• Committee member: Bojan Basrak (član povjerenstva)
• Committee member: Ilja Gogić (član povjerenstva)
• Committee member: Mladen Jurak (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2018-12-07, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

U radu su prikazani nužni i dovoljni uvjeti da bi određena konačnodimenzionalna familija krivulja bila invarijantna za određeni model promjene kamatnih stopa. S matematičke točke gledišta, pitanje se svodi na traženje invarijantnih mogostrukosti za stohastičke diferencijalne jednadžbe. U radu su također dani primjeri traženja invarijantne familije krivulja za određeni model, kao i obrnuto.

Abstract (english)

This paper explains necessary and sufficient conditions under which a specific finitedimensional family of curves is invariant for a specific forward rates model. From mathematical point of view, the problem can be understood as looking for invariant manifolds for stohastic differential equations. The paper also contains several examples of looking for family of curves which is invariant for a given forward rates model and vice versa.

• Keywords: model promjene kamatnih stopa; konačnodimenzionalna familija krivulja; invarijantne mogostrukosti; stohastičke diferencijalne jednadžbe
• Keywords (english): forward rates model; finitedimensional family of curves; stohastic differential equations
• Language: croatian
• URN:NBN: urn:nbn:hr:217:239238
• Study programme: Title: Finance and Business Mathematics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2019-04-18 10:34:15