Interest rate volatility and the shape of the term structure

DOI10.1098/rsta.1994.0066zbMath0822.90014OpenAlexW2073531665MaRDI QIDQ4698074

Roger H. Brown, Stephen M. Schaefer

Publication date: 14 May 1995

Published in: Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rsta.1994.0066

zbMATH Keywords

forward rate curveinterest rate uncertaintyinterest rate volatility

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

Related Items (8)

SOLVABLE AFFINE TERM STRUCTURE MODELS ⋮ Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects ⋮ Affine processes and applications in finance ⋮ A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework ⋮ A tractable model for indices approximating the growth optimal portfolio ⋮ Stochastic Jacobian and Riccati ODE in affine term structure models ⋮ AFFINE LATTICE MODELS ⋮ MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS

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