scientific article; zbMATH DE number 1222811

MaRDI QIDQ4218399zbMATH OpenFDO

Authors Philip H. Dybvig

Publication date 31 May 1999

zbMATH Keywords

mean reversionterm structure modelvariability of interest rates

Mathematics Subject Classification ID

Economic growth models (91B62) Derivative securities (option pricing, hedging, etc.) (91G20)

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• Consistent fitting of one-factor models to interest rate data.
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• Pricing options and convertible bonds based on an actuarial approach
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• Affine term structure models: A time‐change approach with perfect fit to market curves
• Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework

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