A short term interest rate model

DOI10.1007/S007800050059zbMath0924.90024OpenAlexW2038079112MaRDI QIDQ1297923

Eckhard Platen

Publication date: 14 September 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050059

zbMATH Keywords

stochastic volatilitystochastic differential equationsinterest rate modelling

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic processes (60G99)

Related Items (3)

LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC ⋮ Fast maximum likelihood estimation of parameters for square root and Bessel processes ⋮ A Hybrid Model for Pricing and Hedging of Long-dated Bonds

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