Zuzana Vavrovicova
Equilibrium and no-arbitrage models of the term structure
Veduci diplomovej prace: Professor Dr. Engelbert J. Dockner, Wien

Diplomova praca na studijnom odbore
Ekonomicka a financna matematika
v roku 1999

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Obsah

I. Introduction

II. The need for the term structure models 

        2.1 The motivation for term structure models	
        2.2 Principal definitions
III. One-factor models of the term structure 
         3.1 General form of one-factor models	
         3.2 The derivation of the Vasicek and CIR models	
         3.3 The Ho and Lee model

IV. Econometric estimation of one-factor models 

         4.1 Concept and notation	
	 4.2 Discrete-time version of the Vasicek model	
	 4.3 Discrete-time version of CIR model	
	 4.4 Discrete-time version of the Ho and Lee model

V. Fitting models to the data

VI. Conclusion

VII. Resume (in Slovak)

Bibliography

Literatura

Technicka pomoc    Prezeranie postscriptovskych suborov

Stranku pripravil: Daniel Sevcovic, Ustav aplikovanej matematiky, MFF UK,Bratislava