Modelling 1-month euribor interest rate by using differential equations with uncertainty

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dc.contributor.affiliationFacultad de Administración y Dirección de Empresas
dc.contributor.affiliationDepartamento de Matemática Aplicada
dc.contributor.affiliationInstituto Universitario de Matemática Multidisciplinar
dc.contributor.authorCortés, J.-C.
dc.contributor.authorRomero, J.-V.es_ES
dc.contributor.authorSánchez Sánchez, A.es_ES
dc.contributor.authorVillanueva Micó, Rafael Jacinto
dc.contributor.funderMinisterio de Economía y Competitividad
dc.date.accessioned2016-09-16T14:36:37Z
dc.date.available2016-09-16T14:36:37Z
dc.date.issued2015-11
dc.description.abstract[EN] This paper deals with modelling interest rate using continuous models with uncertainty based on Itô-type stochastic differential equations. It is provided an analysis of theoretical aspects that involves the so-called Vasicek s model as well as their practical application. The latter includes model parameter fitting and measurement of goodness-of-fit of the model. The theoretical results are applied to modelling 1-month Euribor interest rate.en_EN
dc.description.accrualMethodSes_ES
dc.description.bibliographicCitationCortés, J.; Romero, J.; Sánchez Sánchez, A.; Villanueva Micó, RJ. (2015). Modelling 1-month euribor interest rate by using differential equations with uncertainty. Applied Mathematical and Computational Sciences. 7(3):37-50. https://riunet.upv.es/handle/10251/70015es_ES
dc.description.issue3es_ES
dc.description.sponsorshipThis work has been partially supported by the Ministerio de Economía y Competitividad grant MTM2013-41765-P.
dc.description.upvformatpfin50es_ES
dc.description.upvformatpinicio37es_ES
dc.description.volume7es_ES
dc.identifier.issn0976-1586
dc.identifier.urihttps://riunet.upv.es/handle/10251/70015
dc.languageIngléses_ES
dc.publisherMili Publicationses_ES
dc.relation.ispartofApplied Mathematical and Computational Scienceses_ES
dc.relation.projectIDinfo:eu-repo/grantAgreement/MINECO//MTM2013-41765-P/ES/METODOS COMPUTACIONALES PARA ECUACIONES DIFERENCIALES ALEATORIAS: TEORIA Y APLICACIONES/es_ES
dc.relation.publisherversionhttp://www.mililink.com/issue_content.php?id=60&iId=291&vol=7&is=3&mon=November&yer=2015&pg=37-50es_ES
dc.relation.senia303720es_ES
dc.rightsReserva de todos los derechoses_ES
dc.rights.accessRightsAbiertoes_ES
dc.subjectModelling interest rateses_ES
dc.subject1-month Euribores_ES
dc.subjectIto-type stochastic differential equationes_ES
dc.subjectMaximum likelihood methodes_ES
dc.subjectPrediction.es_ES
dc.subject.classificationMATEMATICA APLICADAes_ES
dc.titleModelling 1-month euribor interest rate by using differential equations with uncertaintyes_ES
dc.typeArtículoes_ES
dc.type.versioninfo:eu-repo/semantics/publishedVersiones_ES
dspace.entity.typePublication
person.identifier11216
person.identifier823
person.identifier.orcid0000-0002-6528-2155
person.identifier.orcid0000-0002-0131-0532
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upv.uuid603801ac-d569-4e0e-a336-e42e2acbae6bes_ES

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