A survey of stochastic continuous time models of the term structure of interest rates

DOI10.1016/0167-6687(94)00009-3zbMath0821.90010OpenAlexW2045288074MaRDI QIDQ1333590

Kenneth Vetzal

Publication date: 27 September 1995

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(94)00009-3

zbMATH Keywords

term structure of interest ratesdiffusion processesarbitrage pricingcontingent claimsfinanacial economic literaturestochastic continuous time

Mathematics Subject Classification ID

Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

Related Items

Present value of some insurance portfolios ⋮ A cyclical square-root model for the term structure of interest rates ⋮ Term structure modeling and asymptotic long rate ⋮ Efficient Factor Models For Yield Curve Dynamics ⋮ Interest Rate Risk Management ⋮ Term Structure Models: A Perspective from the Long Rate ⋮ Consistent fitting of one-factor models to interest rate data.

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
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• An Intertemporal General Equilibrium Model of Asset Prices
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing the Quality Option In Treasury Bond Futures¹
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
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