Short Rate as a Sum of Two CKLS-Type Processes
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Publication:5274951
DOI10.1007/978-3-319-57099-0_25zbMath1367.91181OpenAlexW2607323850MaRDI QIDQ5274951
Jana Halgašová, Beata Stehlíková, Zuzana Bučková
Publication date: 7 July 2017
Published in: Lecture Notes in Computer Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-57099-0_25
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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- Interest rate models -- theory and practice. With smile, inflation and credit
- Mathematical models of financial derivatives
- On a two-phase minmax method for parameter estimation of the Cox, Ingersoll, and Ross interest rate model
- A Theory of the Term Structure of Interest Rates
- Mathematics and Engineering Innovation Inspired by Nature
- An equilibrium characterization of the term structure
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