A cyclical square-root model for the term structure of interest rates

DOI10.1016/j.ejor.2014.08.010zbMath1338.91144OpenAlexW1984165459MaRDI QIDQ299796

F. Blanchet-Sadri, M. Dambrine

Publication date: 23 June 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.08.010

zbMATH Keywords

martingaleinterest ratesharmonic wavescontinuous-time modelsquare-root process

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (8)

Stability and Hopf bifurcation of a modified predator-prey model with a time delay and square root response function ⋮ Valuation of caps and swaptions under a stochastic string model ⋮ A tractable interest rate model with explicit monetary policy rates ⋮ Kriging of financial term-structures ⋮ A defaultable bond model with cyclical fluctuations in the spread process ⋮ Staffing many‐server queues with autoregressive inputs ⋮ Implications of implicit credit spread volatilities on interest rate modelling ⋮ Long-term swings and seasonality in energy markets

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