Generalized interest rate dynamics and its impacts on finance and pensions

DOI10.1080/07362994.2016.1224975zbMath1358.91104OpenAlexW2557658629MaRDI QIDQ2968187

Milan Stehlík, Pavlina Jordanova, Rastislav Potocký, Jozef Kisel'ák

Publication date: 10 March 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10533/232529

zbMATH Keywords

momentsWiener processstochastic interest ratesecond-order dynamicspension system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

On a control chart for the Gini index with simulations ⋮ Log-gamma motion as flexible model for generalized interest rates ⋮ Financial and risk modelling with semicontinuous covariances

Cites Work

• Unnamed Item
• A second order stochastic differential equation for the force of interest
• From moments of sum to moments of product
• The Brownian movement and stochastic equations
• On Stochastic Representation of Blow-Ups for Distributed Parameter Systems
• On the Theory of the Brownian Motion II

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