ACADSTAFF UGM
| Title | : | Modelling of dynamical interest rates using binomial and trinomial trees |
| Author | : |
Donny Permana (1) Dr. Adhitya Ronnie Effendie, S.Si., M.Si., M.Sc. (2) Udjiana S. Pasaribu (3) Suprayogi (4) |
| Date | : | 0 2016 |
| Keyword | : | Binomial tree,Fitting and prediction,Interest rate,Modeling,Trinomial tree Binomial tree,Fitting and prediction,Interest rate,Modeling,Trinomial tree |
| Abstract | : | Interest rate is an important factor in the field of economics and finance. Thus, modelling of interest rate is very useful in developing many principles in that field. Until now, a lot of models have been designed for interest rate. Various methods have been used to develop the models. There are deterministics, stochastics and combination methods of both. One of the simple stochastics method is using binomial and trinomial trees. In this paper, the methods are reviewed analytically. Basically, the methods have a principle which is almost the same. Both formulas are a little bit different. Modelling of interest rate using trinomial tree is applied to data of interest rates monthly in Indonesia. Here, model parameters are variated thereby producing a variety of models. The resulting models are used for fitting and forecasting of interest rate for the next month. The results are compared by using the mean square error to determine the best model. |
| Group of Knowledge | : | Bidang Matematika Lain yang Belum Tercantum |
| Original Language | : | English |
| Level | : | Internasional |
| Status | : |
Published
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