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

DOI10.1080/13504860410001686034zbMATH Open1106.91326OpenAlexW1987268260MaRDI QIDQ4673734FDOQ4673734

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

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zbMATH Keywords

interest rate modelsshort-rate

Mathematics Subject Classification ID

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

Cited In (2)

• Using Utility Functions to Model Risky Bonds
• Fundamental solutions to Kolmogorov equations via reduction to canonical form

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