Generalizations of Ho-Lee's binomial interest rate model II: randomization

DOI10.14495/jsiaml.12.57zbMath1454.91312OpenAlexW3088916859MaRDI QIDQ5141710

Yu Chiba, Jirô Akahori

Publication date: 18 December 2020

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14495/jsiaml.12.57

zbMATH Keywords

term structure of interest ratesdiscrete modelBayesian interpretation

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• A heat kernel approach to interest rate models
• Affine processes and applications in finance
• Existence of invariant manifolds for stochastic equations in infinite dimension
• Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• The Market Model of Interest Rate Dynamics
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• An equilibrium characterization of the term structure

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