Struktura terminowa stóp procentowych opisana modelami stopy krótkoterminowej

• Authors: Jodź Kamil

Title variants

EN

Term structure of interest rates described with short-rate models

• Languages of publication: PL EN

Abstracts

EN

The article gives an overview of the theoretical basis for the term structure of interest rates. Theoretical and practical benefits of this kind of modeling are indicated. The arguments in support of the opinion that the financial market model with continuous time is better than the model with discrete time are listed. Slightly wider is the discussion on one-factor and two-factor models of the dynamics of the short term rate due to stochas-tic differential equations.

Keywords

EN

spot rate; term structure of interest rates; yield curve; one-factor short-rate models; two-factor short-rate models

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Śląski Przegląd Statystyczny
• Year: 2014
• Issue: 12(18)
• Pages: 273-284

Contributors

author

Jodź Kamil

References

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