Risk analysis of interest rate models
Type Research Project
Duration Jan. 1, 2001 - Dec. 31, 2002
- Mathematical Methods in Statistics AE (Former organization)
Tags
Press 'enter' for creating the tagAbstract (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