Autors: Lazarova, M. D., Sylvi-Maria Gurova.
Title: Numerical comparative analysis on the classical Vasicek model for determing the zero coupon bond's price
Keywords: finance modeling, interest rates, bond’s price, zero coupon, stochastic differential equations, partial differential equations

Abstract: In finance theory different models aiming to prognose the price of a given bond are considered. The finance modeling constructs an abstract introduction of a model that can describe the real world financial condition. This is a mathematical model that can be used to introduce a simplified version of the extension of the financial assets or a portfolio of business project or another investment. Usually the finance modeling is concerned with the exercising of the assets’ prices or cooperative finances of a quantative nature. In the present paper we consider the classical Vasicek model without a risk factor and the classical Vasicek model with a risk factor. We give three numerical experiments for determing the zero coupon bond’s price. The first one takes into consideration that the market price of risk is not changing. The other experiments are made for different values of the market price of risk.

References

    Issue

    MATTEX 2018 - Volume 1, vol. 1, pp. 121-135, 2018, Bulgaria, ISSN 1314-3921

    Copyright Научна конференция с международна участие MATTEX 2018

    Full text of the publication

    Вид: публикация в национален форум с межд. уч.