Search for dissertations about: "Bond prices"

Showing result 1 - 5 of 19 swedish dissertations containing the words Bond prices.

  2. 1. Essays on the term structure of interest rates

    Author : Magnus Hyll; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This volume contains five essays on topics related to interest rate theory.The first essay, Affine Term Structures and Short-Rate Realizations of Forward Rate Models Driven by Jump-Diffusion Processes, examines the problem of determining when a given forward rate model has a short-rate realization, and when a short-rate model gives rise to an affine term structure. READ MORE

  4. 2. Credit risk and forward price models

    Author : Raquel M Gaspar; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This thesis consists of three distinct parts. Part I introduces the basic concepts and the notion of general quadratic term structures (GQTS) essential in some of the following chapters. Part II focuses on credit risk models and Part III studies forward price term structure models using both the classical and the geometrical approach. READ MORE

  5. 3. The Macroeconomics of the Term Structure of Interest Rates

    Author : Paolo Zagaglia; Matthew Lindquist; Refet S. Gurkaynak; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; term structure of interest rates; monetary policy; money market; Economics; Nationalekonomi; Economics; nationalekonomi;

    Abstract : This thesis consists of four papers, summarized as follows. "The Term Structure of Interest Rates and the Monetary Transmission Mechanism" This paper provides empirical evidence that the term structure of interest rates is an integral part of the monetary transmission mechanism. READ MORE

  6. 4. Essays in empirical finance

    Author : Magnus Andersson; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : Financial market analysis nowadays constitutes an important pillar in central banks' monetary policy considerations. This is because the inherently forward-looking properties of asset prices can provide policy-makers with valuable information about future macroeconomic prospects, as seen through the eyes of investors. READ MORE

  7. 5. No Arbitrage Pricing and the Term Structure of Interest Rates

    Author : Thomas Gustavsson; Jan Söderström; Peter Sehlin; Uppsala universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Nationalekonomi;

    Abstract : This dissertation provides an introduction to the concept of no arbitrage pricing and probability measures. In complete markets prices are arbitrage-free if and only if there exists an equivalent probability measure under which all asset prices are martingales. This is only a slight generalization of the classical fair game hypothesis. READ MORE