On a volatility averaging in a two-factor interest rate model

MaRDI QIDQ3646694zbMATH OpenFDO

Authors Beáta Stehlíková, Daniel Ševčovič

Publication date 27 November 2009

zbMATH Keywords

Fokker-Planck equationFong-Vašıček modeltwo-factor interest rate modelvolatility averaging

Mathematics Subject Classification ID

Heat equation (35K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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(3)

• Two-factor term structure model with uncertain volatility risk
• On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures
• On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility

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