Consistent fitting of one-factor models to interest rate data.

DOI10.1016/S0167-6687(00)00039-1zbMath1103.62368OpenAlexW2124955513WikidataQ126633877 ScholiaQ126633877MaRDI QIDQ1584583

Wolfgang Stummer, L. C. G. Rogers

Publication date: 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(00)00039-1

zbMATH Keywords

Cox-Ingersoll-Ross modelTerm structure of interest ratesVasiček model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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