Probability Properties of Interest Rate Models

DOI10.1007/978-3-319-44615-8_20MaRDI QIDQ4690243zbMATHOpenAlexFDO

Authors G. A. Medvedev

Publication date 22 October 2018

Published in Communications in Computer and Information Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-44615-8_20

zbMATH Keywords

term structureyieldshort-term risk-free interest rates

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure

Cited in

(4)

• Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates
• Interest randomness and differential equations
• Remarks on some short rate term structure models
• Qualitative properties of risk models under stochastic interest force

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