Miðvikudaginn 28. maí kl. 15:30 mun Arnar Ingi Njarðarson verja 30 ECTS verkefni sitt til meistaragráðu í fjármálaverkfræði „Single Factor Short Rate Models"

• Stofa: M102 og eru öll velkomin.
• Nemandi: Arnar Ingi Njarðarson
• Leiðbeinandi: Sverrir Ólafsson
• Prófdómari: Heiðar Ingvi Eyjólfsson

Útdráttur: This thesis explores single factor short rate models by examining their ability to capture term structure of risk-free government bonds. Interest rate dynamics are fundamentally important for pricing of fixed income securities. Widely used models, however, face limitations. This thesis outlines challenges in selected models, including issues related to flexibility and calibration stability. Single factor short rate models, including the Vasicek model, the Cox-Ingersoll-Ross model and the Hull-White model are implemented using Icelandic bond data. This thesis highlights each model’s strengths and disadvantages within the context of a small bond market.