A four-parameter interest rates model incorporating average of past short rates

MaRDI QIDQ3456286zbMATH OpenFDO

Authors Man M. Chawla

Publication date 11 December 2015

zbMATH Keywords

four-parameter short rate modelMalkielnormal level of short ratepricing of zero-coupon bondsterm structure of interest ratesyield curve

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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