Economic Analysis: Theory and Practice

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Economic Analysis: Theory and Practice

15(180) - 2010 May

Assessing a no-arbitrage interest rate and its applying to Black-Cox model

Vol. 9, Iss. 15, MAY 2010

Available online: 18 May 2010

Subject Heading: ECONOMIC AND MATHEMATICAL SIMULATION

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Kritski O.L. candidate of physics and mathematical sciences, associate professor, deputy dean of the natural sciences and mathematics faculty, Tomsk polytechnic university
olegkol@tpu.ru

Ilyna T.A. postgraduate student of the natural sciences and mathematics faculty, Tomsk polytechnic university
olegkol@tpu.ru

Kamenskih D.M. student of the natural sciences and mathematics faculty, Tomsk polytechnic university
olegkol@tpu.ru

A new methodology of no-arbitrage interest rate assessing was suggested. It was constructed as the ratio of different financial instruments’ risk aversions with one base asset. The adequacy of this methodology was proved. The stochastic values of that ones computed by using intraday five-minute data of LukOil, VTB, GMK and Sberbank share and future quotations from March till June, 2009, were found. Finally, the parameters of modified Black-Cox model applied to paying out the GAZPROM’s credit were computed.

Keywords: risk aversion, stochastic no-arbitrage interest rate, Black-Cox credit risk model

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ISSN 2311-8725 (Online)
ISSN 2073-039X (Print)

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