A short term interest rate model
type: Item
instance of: scholarly article
title: A short term interest rate model
zbMATH Open document ID: 0924.90024
author: Eckhard Platen
published in: Finance and Stochastics
publication date: 1999-09-14T00:00:00Z
review text: The short term interest rate plays a prominent role in many areas of finance. The modelling of its dynamics represents a difficult and challenging problem. A large number of different interest rate term structure models have been considered in the literature. The survey by \textit{T. Björk} [Lect. Notes Math. 1656, 53--122 (1997; Zbl 0904.90007)] provides a recent overview of this topic. The aim of this paper is to suggest a new and possibly more realistic short term interest rate model. It incorporates the inflation rate, market variance, market net growth rate and market volatility trend. The model links the short rate with other market factors and provides a good fit to empirical data for several developed markets.
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 60G99
zbMATH DE Number: 1336684
zbMATH Keywords: interest rate modelling
zbMATH Keywords: stochastic volatility
zbMATH Keywords: stochastic differential equations
MaRDI profile type: Publication
full work available at URL: s007800050059
OpenAlex ID: W2038079112
DOI: 10.1007/S007800050059
description: scientific article; zbMATH DE number 1336684