Consols In the Cir Model
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Publication:4372004
DOI10.1111/j.1467-9965.1993.tb00082.xzbMath0884.90023OpenAlexW2145441354MaRDI QIDQ4372004
Publication date: 5 April 1998
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00082.x
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Related Items (12)
Present value of some insurance portfolios ⋮ Prepayment risk on callable bonds: theory and test ⋮ Hysteresis effects under CIR interest rates ⋮ Optimal stopping in infinite horizon: an eigenfunction expansion approach ⋮ SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST ⋮ Continuous-time perpetuities and time reversal of diffusions ⋮ A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL ⋮ GENERAL ANALYSIS OF LONG-TERM INTEREST RATES ⋮ Some Properties of CIR Processes ⋮ Consistent fitting of one-factor models to interest rate data. ⋮ Supermodular ordering and stochastic annuities ⋮ Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections
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