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Modeling of bond prices

Student: Derkach Aleksandr

Supervisor: Vladimir Khametov

Faculty: Faculty of Applied Mathematics and Cybernetics

Educational Programme: Specialist

Year of Graduation: 2014

<p>In this work, the problem of bond price and interest rate modeling is investigated. There is a review of existing models with their positive and negative sides, also new model is offered, which allow solving a wider class of problems. The model is given with statistic experiment results, revealing explicit conditions of use and indicating adequacy of the hypothesis underlying in its basis.</p><p>Actuality of this research is confirmed by the fact that different financial structures (such as Central Banks, Investment institutes and others) use models of interest rates of bonds for calculating forecasts and investment risks from investments in the given financial instrument, as well as some other financial indicators operated by different financial institutions during in their activity.</p>

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