Sincov's and other functional equations and negative interest rates

DOI10.1007/S00010-022-00936-9arXiv2210.02250MaRDI QIDQ6412972FDOQ6412972

Jens Schwaiger, Gergely Kiss

Publication date: 5 October 2022

Abstract: Investigating the future value $F(K,s,t)$ of a capital $K$ invested at date $S$ at date $t$ the "natural" condition $F(K,s,t)geqK$ has lost its naturality because of the strange fact of negative interest rates. This leads to the task of describing the possible solutions of the multiplicative Sincov equation $f(s,u)=f(s,t)f(t,u)$ for $sleqtlequ$, where $f(s,t)=0$ may happen. In this paper we solve this task and discuss connections to the theory of investments.

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Functional equations for real functions (39B22) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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