On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures (Q3144592)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures |
scientific article |
Statements
8 December 2012
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two-factor term structure model
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generalized Fong-Vasicek interest rate model
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stochastic volatility
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stochastic differential equation
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averaging
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limiting density
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q-fin.ST
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math.NA
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math.ST
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stat.TH
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