A short term interest rate model

DOI10.1007/S007800050059zbMATH Open0924.90024OpenAlexW2038079112MaRDI QIDQ1297923FDOQ1297923

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

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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)

Cited In (4)

• LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A Hybrid Model for Pricing and Hedging of Long-dated Bonds
• Fast maximum likelihood estimation of parameters for square root and Bessel processes

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