Probability Properties of Interest Rate Models

DOI10.1007/978-3-319-44615-8_20zbMATH Open1416.91385OpenAlexW2513564289MaRDI QIDQ4690243FDOQ4690243

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

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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)

Cites Work

• A theory of the term structure of interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Title not available (Why is that?)

Cited In (4)

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

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