scientific article; zbMATH DE number 1222811

zbMath0913.90013MaRDI QIDQ4218399

Philip H. Dybvig

Publication date: 31 May 1999

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

mean reversionterm structure modelvariability of interest rates

Mathematics Subject Classification ID

Economic growth models (91B62) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

A survey of stochastic continuous time models of the term structure of interest rates ⋮ Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework ⋮ Estimating continuous-time stochastic volatility models of the short-term interest rate ⋮ Implied volatility from the term structure: a simple analytical approximation ⋮ Affine term structure models: A time‐change approach with perfect fit to market curves ⋮ An efficient ex-ante criterion for ranking investment strategies ⋮ Consistent fitting of one-factor models to interest rate data.

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