Stochastic analysis of short-rate modeling: which approach yields a better fit to data?

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buir.advisorKerimov, Azer
dc.contributor.authorBulut, Mustafa
dc.date.accessioned2017-10-03T10:03:58Z
dc.date.available2017-10-03T10:03:58Z
dc.date.copyright2017-09
dc.date.issued2017-09
dc.date.submitted2017-10-02
dc.departmentDepartment of Mathematicsen_US
dc.descriptionCataloged from PDF version of article.en_US
dc.descriptionThesis (M.S.): Bilkent University, Department of Mathematics, İhsan Doğramacı Bilkent University, 2017.en_US
dc.descriptionIncludes bibliographical references (leaves 47-49).en_US
dc.description.abstractThis thesis investigates the extent to which the two of the most common onefactor short-rate models are able to describe the market behavior of risk free Turkish treasuries for the post-2005 period. The investigated models are those widely used ones in the literature, which has analytical solutions, namely the Vasicek Model and the Cox-Ingersoll-Ross (CIR) Model. After building the necessary mathematical and financial structure, the thesis discusses the stochastic mechanics of interest rate modeling and in light of it, the zero-coupon bond prices in the models are solved, which are needed to numerically estimate model coeffi- cients. The success of a model depends on how close it estimates the bond price to the market price. In the empirical part, the fitting performance of these two models is compared together with the current benchmark, the Nelson-Siegel (NS) Model, via the standard model fitting statistics. The estimation results reveals two important regularities: Firstly the models yield a poor fitting performance during the financial crisis period and secondly the models' degree of fit to data deteriorates as the maturity raises. Among the alternative models, the CIR in general yields the worst fit to data despite its theoretical complexity while the simple Vasicek Model achieves a high degree of fit to data. Lastly the estimated yield curves for specific dates and the zero rates of varying maturities are provided, which are expected to guide policy makers and practitioners.en_US
dc.description.degreeM.S.en_US
dc.description.provenanceSubmitted by Betül Özen (ozen@bilkent.edu.tr) on 2017-10-03T10:03:57Z No. of bitstreams: 1 Mustafa Bulut_Master Tezi_Tamamı.pdf: 584290 bytes, checksum: 8167feaf9ca512444d7b0516696cb024 (MD5)en
dc.description.provenanceMade available in DSpace on 2017-10-03T10:03:58Z (GMT). No. of bitstreams: 1 Mustafa Bulut_Master Tezi_Tamamı.pdf: 584290 bytes, checksum: 8167feaf9ca512444d7b0516696cb024 (MD5) Previous issue date: 2017-10en
dc.description.statementofresponsibilityby Mustafa Bulut.en_US
dc.format.extentix, 53 leaves : charts (some color) ; 29 cm.en_US
dc.identifier.itemidB156522
dc.identifier.urihttp://hdl.handle.net/11693/33774
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectStochastic Analysisen_US
dc.subjectShort-Rate Modelingen_US
dc.subjectYield Curveen_US
dc.titleStochastic analysis of short-rate modeling: which approach yields a better fit to data?en_US
dc.title.alternativeKısa vadeli faiz modellemesinin stokastik analizi : hangi yöntem veriye daha iyi uyuyor?en_US
dc.typeThesisen_US

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