A square root interest rate model fitting discrete initial term structure data

DOI10.1080/13504860110034770MaRDI QIDQ4541596zbMATH OpenOpenAlexFDO

Authors Erik Schlögl, Lutz Schlögl

Publication date 5 September 2002

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860110034770

zbMATH Keywords

fixed income derivativesinterest ratessquare root processterm structure

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• A theory of the term structure of interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing interest-rate-derivative securities
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• The pricing of options and corporate liabilities

Cited in

(8)

• A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term
• On a general class of one-factor models for the term structure of interest rates
• A consistent stochastic model of the term structure of interest rates for multiple tenors
• A cyclical square-root model for the term structure of interest rates
• Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
• Two extensions for fitting discrete time term structure models with normally distributed factors
• A simple class of square-root interest-rate models
• Options on realized variance by transform methods: a non-affine stochastic volatility model

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