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A term structure interest rate model with the Brownian bridge lower bound - MaRDI portal

A term structure interest rate model with the Brownian bridge lower bound

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Publication:6630704

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DOI10.1007/s10436-024-00439-4MaRDI QIDQ6630704

Kentaro Kikuchi

Publication date: 31 October 2024

Published in: Annals of Finance (Search for Journal in Brave)

zbMATH Keywords

Brownian bridge unconventional monetary policy no-arbitrage condition negative interest rate quadratic Gaussian term structure model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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