Assigned Thesis

TITLE:

YIELD CURVE: EVALUATION AND FORECAST

DESCRIPTION:

The task of the thesis is to complete two econometrics models to forecast daily yield or yield to maturity of the most frequently exchanged government securities on the Italian market. The econometrics method used is a GARCH model.

STUDENT:

Lucia
Maggi

E-MAIL:

Not available

DOCUMENT:

TITLE:

THE FORECAST WITH GARCH MODELS: FUTURES ON EUROLIRA INTEREST RATES

DESCRIPTION:

The task of the thesis is to forecast financial series, particularly with reference to future contracts on Eurolira exchange rates. The considered forecast horizon is one day.

STUDENT:

Grazia
Cozzi

E-MAIL:

Not available

DOCUMENT:

TITLE:

DIFFUSION PROCESSES AND THEIR APPLICATION IN THE FINANCIAL MARKETS

DESCRIPTION:

The thesis in Physics is about financial markets, analysing the existing relationship between Physics and finance. Particularly, the described relationship is visible in different dimensions, such as a market structure. As many investors operate on the financial markets, the markets can be considered as systems with a non-specified dynamic. In this thesis, a particular financial market, those of interest rate instruments, is analysed by viewing the market as a physical system. It can be considered as an interactive “gas of particles” and particularly, the stochastic interest rate dynamic is described using a diffusion process similar to the process for the speed of the Brownian particle.

STUDENT:

Daniele
Rosa

E-MAIL:

daniele.rosa@gmail.com

DOCUMENT:

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