DC FieldValueLanguage
dc.contributor.advisorTeichmann, Josef-
dc.contributor.authorMagenschab, Andreas-
dc.date.accessioned2020-06-30T21:42:00Z-
dc.date.issued2008-
dc.date.submitted2008-03-
dc.identifier.urihttps://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-29668-
dc.identifier.urihttp://hdl.handle.net/20.500.12708/14379-
dc.description.abstractThe 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.<br />de
dc.description.abstractThe 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.en
dc.formatIV, 79 Bl.-
dc.languageEnglish-
dc.language.isoen-
dc.subjectPotential Theorie/ Resolvente/ Markow Kette/ Markow Prozess/ Zinskurve/ Zinsstruktur/ Zins/ Bond/ Anleihede
dc.subjectpotential approach/ resolvent/ markov chain/ markov process/ yield curve/ term structure/ interest rates/ spot rate/ state price density/ zero bonden
dc.titleThe potential approach to the term structure of interest rates : theory and applicationen
dc.typeThesisen
dc.typeHochschulschriftde
tuw.publication.orgunitE105 - Institut für Wirtschaftsmathematik-
dc.type.qualificationlevelDiploma-
dc.identifier.libraryidAC05037024-
dc.description.numberOfPages79-
dc.identifier.urnurn:nbn:at:at-ubtuw:1-29668-
dc.thesistypeDiplomarbeitde
dc.thesistypeDiploma Thesisen
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.openairetypeThesis-
item.openairetypeHochschulschrift-
item.grantfulltextopen-
item.openaccessfulltextOpen Access-
item.languageiso639-1en-
item.cerifentitytypePublications-
item.cerifentitytypePublications-
item.fulltextwith Fulltext-
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