Three-factor interest rate models

DOI10.4310/CMS.2003.V1.N3.A8MaRDI QIDQ2583432zbMATH OpenFDO

Authors You-lan Zhu

Publication date 16 January 2006

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25)

Recommendations

• A three-factor convergence model of interest rates
• scientific article; zbMATH DE number 2150980
• A bond pricing formula under a non-trivial, three-factor model of interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Interest rate models -- theory and practice
• A multi-quality model of interest rates
• Interest rate modeling. Theory and practice
• Interest rate term structure modelling
• Interest rate models: an introduction

Cited in

(1)

• Boundary values and finite difference methods for the single factor term structure equation

This page was built for publication: Three-factor interest rate models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2583432)