Русский
!

Conference publications

Abstracts

XVII conference

Mathematical model of risk-free interest rate

Ilyina T., Kamenskih D., Kritski O.

Tomsk Polytechnic University, HM and MP Dept., NS and M. Faculty, Russia, 634050, Tomsk, Tomsk Reg., Lenin Ave., 30, Ph.: (83822) 418913, E-mail: olegkol@tpu.ru

1 pp. (accepted)

A new metodology of no-arbitrage interest rate assessing is considered. It takes into account the different risk aversions computed for futures and shares. Theorems and the correspondence of the model constructed to a real data are proved. We also made calculations of risk-free interest rate for the most liquid shares in Russian stock market like GAZPROM, Sberbank, VTB, Lukoil etc. using of 5650 five-minute intradate quotations from 03.11.09 till 06.11.09



© 2004 Designed by Lyceum of Informational Technologies №1533