Indeonsian Government Bond Stochastic Simulation
This paper proposes a govemment bodn portofolio stochatic simulation using a Vasicek Model, a generally used model of term structure of interest rates. The model is used to generate the possible term strcture of interest rates for five years based on the historical term structure. The future govemme...
| Main Author: | Deddy P. Koesrindartoto, Fernando Adventur |
|---|---|
| Format: | Jurnal |
| Language: | Bahasa Inggris |
| Published: |
ITB
2011
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| Subjects: | |
| Online Access: |
http://oaipmh-jogjalib.umy.ac.idkatalog.php?opo=lihatDetilKatalog&id=51934 |