A cyclical square-root model for the term structure of interest rates
DOI10.1016/J.EJOR.2014.08.010zbMATH Open1338.91144OpenAlexW1984165459MaRDI QIDQ299796FDOQ299796
Federico Platania, Manuel Moreno
Publication date: 23 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2014.08.010
Recommendations
Statistical methods; risk measures (91G70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cited In (11)
- A square root interest rate model fitting discrete initial term structure data
- Stability and Hopf bifurcation of a modified predator-prey model with a time delay and square root response function
- Long-term swings and seasonality in energy markets
- Kriging of financial term-structures
- Valuation of caps and swaptions under a stochastic string model
- The term structure of interest rates over the business cycle
- A tractable interest rate model with explicit monetary policy rates
- A defaultable bond model with cyclical fluctuations in the spread process
- Staffing many‐server queues with autoregressive inputs
- Implications of implicit credit spread volatilities on interest rate modelling
- The term structure of interest rates over the business cycle
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