An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions

DOI10.1080/14697688.2013.765062zbMath1402.91835OpenAlexW2062470826MaRDI QIDQ5247276

Rogemar S. Mamon, Marianito R. Rodrigo

Publication date: 23 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.765062

zbMATH Keywords

generating functionsintegral transformsinterest rate modelscalibration methodexponential affine bond price

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Integral transforms of special functions (44A20)

Related Items (5)

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Cites Work

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• Valuation of contingent claims with mortality and interest rate risks
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Valuation of sinking-fund bonds in the Vasicek and CIR frameworks^∗Financial support from Murst Fondo 40% on ‘Modelli di struttura a termine dei tassi d'interesse’ is gratefully acknowledged.
• An equilibrium characterization of the term structure
• Arbitrage Theory in Continuous Time
• Stochastic flows and the forward measure

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