Vladimír Dobiáš
Doctoral thesis
Arbitrage-Free Yield Curve
Výnosová křivka neumožňující arbitráž
Abstract:
We address the issue of market incompleteness in the time dimension. Specifically, we focus on interest rate markets and the yield curve extraction. The lack of information about interest rates manifest itself in a non-invertible linear system. The usual approach to circumvent this problem is by applying various curve fitting methods - both parametric and non-parametric. We argue in favor of a novel …more
Language used: English
Date on which the thesis was submitted / produced: 1. 10. 2003
Identifier:
http://www.vse.cz/vskp/eid/28059
Thesis defence
- Date of defence: 16. 9. 2008
- Supervisor: Jan Kodera
- Reader: Conall O Sullivan
Full text of thesis
Contents of on-line thesis archive
Published in Theses:- autentizovaným zaměstnancům ze stejné školy/fakulty
Other ways of accessing the text
Institution archiving the thesis and making it accessible: Vysoká škola ekonomická v Prazehttp://www.vse.cz/vskp/eid/28059
Vysoká škola ekonomická v Praze
Doctoral programme / field:
Hospodářská politika a správa / Finance
Theses on a related topic
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