Title: The potential approach to the term structure of interest rates : theory and application
Language: English
Authors: Magenschab, Andreas 
Qualification level: Diploma
Advisor: Teichmann, Josef
Issue Date: 2008
Number of Pages: 79
Qualification level: Diploma
Abstract: 
The main aim of this text is a new approach to the term structure of interest rates called the potential approach. The key element of this approach is to view the state-price density (a positive supermartingale) as the modelling primitive and to express the prices of derivaties directly in terms of this. In this framework prices of zero-bonds are expressed in terms of conditional expectations, which leads us to the concept of modeling with Markov processes. First the theory is presented and then used in a various number of simulations using a Markov process in continuous time with finite state-space and continuous state-space.

The main aim of this text is a new approach to the term structure of interest rates called the potential approach. The key element of this approach is to view the state-price density (a positive supermartingale) as the modelling primitive and to express the prices of derivaties directly in terms of this. In this framework prices of zero-bonds are expressed in terms of conditional expectations, which leads us to the concept of modeling with Markov processes. First the theory is presented and then used in a various number of simulations using a Markov process in continuous time with finite state-space and continuous state-space.
Keywords: Potential Theorie/ Resolvente/ Markow Kette/ Markow Prozess/ Zinskurve/ Zinsstruktur/ Zins/ Bond/ Anleihe
potential approach/ resolvent/ markov chain/ markov process/ yield curve/ term structure/ interest rates/ spot rate/ state price density/ zero bond
URI: https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-29668
http://hdl.handle.net/20.500.12708/14379
Library ID: AC05037024
Organisation: E105 - Institut für Wirtschaftsmathematik 
Publication Type: Thesis
Hochschulschrift
Appears in Collections:Thesis

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