A two-factor model for low interest rate regimes

DOI10.1007/S10690-005-4251-XMaRDI QIDQ2575438zbMATH OpenOpenAlexFDO

Authors Shane Miller, Eckhard Platen

Publication date 9 December 2005

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-005-4251-x

Mathematics Subject Classification ID

Continuity and singularity of induced measures (60G30) Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(11)

• Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate
• Pricing of long dated equity-linked life insurance contracts
• Real-world pricing for a modified constant elasticity of variance model
• ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
• A Hybrid Model for Pricing and Hedging of Long-dated Bonds
• Real-world jump-diffusion term structure models
• A positive interest rate model with sticky barrier
• Taking positive interest rates seriously
• AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
• Asymmetric short-rate model without lower bound
• A term structure interest rate model with the Brownian bridge lower bound

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