scholarly journals EXTENSION OF VASICEK MODEL TO THE MODELLING OF INTEREST RATE

2020 ◽  
Vol 4 (2) ◽  
pp. 151-155
Author(s):  
Adaobi Udoye ◽  
Lukman Akinola ◽  
Eka Ogbaji
Keyword(s):  
Stochastic Process ◽  
Interest Rate ◽  
Interest Rates ◽  
Regression Method ◽  
Least Square ◽  
Interesting Aspect ◽  
Vasicek Model ◽  
Least Square Regression ◽  
Ito's Lemma ◽  
Random Times

Interest rate modelling is an interesting aspect of stochastic processes. It has been observed that interest rates fluctuates at random times, hence the need for its modelling as a stochastic process. In this paper, we apply the existing Vasicek model, Itô’s lemma and least-square regression method in the modelling and providing dynamics for a given interest rate.

scholarly journals PERHITUNGAN PREMI ASURANSI JOINT LIFE DENGAN MODEL VASICEK DAN CIR

2019 ◽  
Vol 8 (3) ◽  
pp. 246
Author(s):  
I MADE WAHYU WIGUNA ◽  
KETUT JAYANEGARA ◽  
I NYOMAN WIDANA
Keyword(s):  
Stochastic Process ◽  
Interest Rates ◽  
Life Insurance ◽  
Insurance Premium ◽  
Insurance Contract ◽  
Insurance Company ◽  
Vasicek Model ◽  
Cir Model ◽  
Premium Payment ◽  
Premium Price

Premium is a sum of money that must be paid by insurance participants to insurance company, based on  insurance contract. Premium payment are affected by interest rates. The interest rates change according to stochastic process. The purpose of this work is to calculate the price of joint life insurance premiums with Vasicek and CIR models. The price of a joint life insurance premium with Vasicek and CIR models, at the age of the insured 35 and 30 years has increased until the last year of the contract. The price of a joint life insurance premium with Vasicek model is more expensive than the premium price using CIR model.

scholarly journals Design and Calibration of a 6-Component Balance on a Bicycle Steer

Proceedings ◽  
2018 ◽  
Vol 2 (8) ◽  
pp. 520
Author(s):  
Jordi D’hondt ◽  
Sien Dieltiens ◽  
Marc Juwet
Keyword(s):  
Finite Element Analysis ◽  
Finite Element ◽  
Present Article ◽  
Regression Method ◽  
Full Scale ◽  
Least Square ◽  
Element Analysis ◽  
Multiple Loads ◽  
Least Square Regression ◽  
Scale Error

The present article describes the methodology used to design and calibrate a 6-component balance. This balance is utilized in an instrumented bike measuring the forces applied on the handlebars. This instrumentation bike maps all riders induced loads. In the designing process, Finite Element Analysis was used. Calibrating the balance was done using the Least Square Regression Method which allows combining multiple loads during calibration and thus requires less samples. The balance operates with a maximum full scale error of 0.53%.

scholarly journals Determinan Suku Bunga dan Likuiditas Bank Terhadap Pertumbuhan Kredit di Indonesia

Jurnal Ecogen ◽  
2020 ◽  
Vol 3 (2) ◽  
pp. 200
Author(s):  
Yeniwati Yeniwati
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Commercial Banks ◽  
Secondary Data ◽  
Least Square ◽  
Bank Credit ◽  
Credit Growth ◽  
Ordinary Least Square ◽  
Banking Community ◽  
The Interest Rate

This study aims to determine the effect of the interest rate (BI rate) on bank credit growth in Indonesia, liquidity on bank credit growth in Indonesia and determine the effect of interest rates and liquidity on bank credit growth in Indonesia. The method used in this study is Ordinary Least Square (OLS) using secondary data from 2009 Quarter I to 2018 Quarter IV. The results of the analysis showed that there was an influence between interest rates on bank credit growth in Indonesia, there was an influence between liquidity on bank credit growth in Indonesia. Together there is an influence between interest rates and bank liquidity on the growth of bank credit in Indonesia. The policy implication of this research is that Bank Indonesia must maintain the benchmark interest rate set in order to trigger an increase in bank credit growth. In addition, Bank Indonesia must monitor the liquidity of commercial banks in Indonesia so that the trust of the banking community is even greaterKeywords : interest rate, Liquidity, Credit

scholarly journals INTEREST RATE REGIME AND THE PERFORMANCE OF THE NIGERIAN CAPITAL MARKET

2015 ◽  
Author(s):  
Edirin Jeroh ◽  
C. M. Ekwueme
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Capital Market ◽  
Stock Exchange ◽  
Least Square ◽  
Policy Makers ◽  
Ordinary Least Square ◽  
Policy Review ◽  
Policy Measures ◽  
The Impact

This study x-ray’s the interest rates regime in Nigeria as it affects the performance of the Nigerian Capital Market. In order to achieve this objective, relevant data for a period of 33 years spanning from 1981 – 2013 were obtained from the Factbook of the Nigerian Stock Exchange, CBN Statistical Bulletin as well as the annual accounts of quoted firms for the relevant years. The data obtained were analysed with the Ordinary Least Square (OLS) technique. The result from our analysis reveal among others that changes in interest rate regimes have majorly influenced the level of the performance of the Nigerian Capital Market. Based on the above, we recommend that capital market regulators and other regulatory agencies should keep an eye on movements in interest rates and the Minimum Rediscount Rate (MRR) (now MPR) and watch their trend. We also recommend that efforts must be put in place to establish a policy review and reassessment mechanism that would help in assessing the impact of selected policy measures on the economy so that policy makers would know the effectiveness and efficiency of designed policies and be guided in the policy review and development process in the country.

scholarly journals Estimating the Short Rate from the Term Structures in the Vasicek Model

2014 ◽  
Vol 61 (1) ◽  
pp. 87-103
Author(s):  
Jana Halgašová ◽  
Beáta Stehlíková ◽  
Zuzana Bučková
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Calibration Method ◽  
Current Level ◽  
Model Parameters ◽  
Bond Prices ◽  
Vasicek Model ◽  
Term Structures ◽  
Short Rate Models

Abstract In short rate models, bond prices and term structures of interest rates are determined by the parameters of the model and the current level of the instantaneous interest rate (so called short rate). The instantaneous interest rate can be approximated by the market overnight, which, however, can be influenced by speculations on the market. The aim of this paper is to propose a calibration method, where we consider the short rate to be a variable unobservable on the market and estimate it together with the model parameters for the case of the Vasicek model

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