A stochastic monetary policy interest rate model

MaRDI QIDQ3524428zbMATH OpenFDO

Authors Claudio Albanese, Manlio Trovato

Publication date 9 September 2008

zbMATH Keywords

callable cms spreadcallable swapcontinuous-time latticeinterest rate modelsMarkov generatormonetary policyoperator methodsstochastic driftstochastic volatilityvolatility smile

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

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(8)

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• Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk
• Stochastic Interest Rates
• Quantitative reverse stress testing, bottom up

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