A square root interest rate model fitting discrete initial term structure data

DOI10.1080/13504860110034770zbMath1034.91034OpenAlexW3121589512MaRDI QIDQ4541596

Lutz Schlögl, Erik Schlögl

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860110034770

zbMATH Keywords

interest ratesterm structuresquare root processfixed income derivatives

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

A consistent stochastic model of the term structure of interest rates for multiple tenors ⋮ Options on realized variance by transform methods: a non-affine stochastic volatility model

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Pricing Interest-Rate-Derivative Securities

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