Comparison of the performance of a time‐dependent short‐interest rate model with time‐independent models

DOI10.1080/13504860410001686034MaRDI QIDQ4673734zbMATH OpenOpenAlexFDO

Authors Noel Hansen, Joanna Goard

Publication date 9 May 2005

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860410001686034

zbMATH Keywords

interest rate modelsshort-rate

Mathematics Subject Classification ID

Economic time series analysis (91B84) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• Using Utility Functions to Model Risky Bonds

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