A short term interest rate model

DOI10.1007/S007800050059MaRDI QIDQ1297923zbMATH OpenOpenAlexFDO

Authors Eckhard Platen

Publication date 14 September 1999

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800050059

zbMATH Keywords

stochastic differential equationsstochastic volatilityinterest rate modelling

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic processes (60G99)

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• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A Hybrid Model for Pricing and Hedging of Long-dated Bonds
• Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
• A four-parameter interest rates model incorporating average of past short rates
• Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates
• Fast maximum likelihood estimation of parameters for square root and Bessel processes

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