Risk analysis of interest rate models

Type Research Project

Duration Jan. 1, 2001 - Dec. 31, 2002

  • Mathematical Methods in Statistics AE (Former organization)

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Abstract (German)

Wir analysieren das Risiko, das von einer Änderung der aktuellen Forward Rate stammt. Methoden aus dem Bereich der multivariaten Statistik, numerischen Mathematik und stochastischen Differentialgleichungen werden verwendet.

Abstract (English)

Within the framework of interest rate models we analyze the risk which comes from a change of the actual forward rate curve. The methods include multivariate statistics, numerical analysis and stochastic differential equations.

Publications

Classification

  • 1137 Financial mathematics (Details)

Expertise

  • Risk Analysis
  • Interest Rate Model
  • Risk Analysis
  • Interest Rate Model