𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The mean internal interest-intensity in a certain stochastic interest-model

✍ Scribed by Erhard Kremer


Book ID
105635097
Publisher
Springer-Verlag
Year
2001
Tongue
German
Weight
109 KB
Volume
25
Category
Article
ISSN
1864-0281

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


A straightforward analytical calculation
✍ M. Vanneste; M.J. Goovaerts; A. De Schepper; J. Dhaene πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 305 KB

Starting from the moment generating function of the annuity certain with stochastic interest rate written by means of a time discretization of the Wiener process as an n-fold integral, a straightforward evaluation of the corresponding distribution function is obtained by letting n tend to infinity.

A two-mean reverting-factor model of the
✍ Manuel Moreno πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 261 KB πŸ‘ 2 views

## Abstract This article presents a two‐factor model of the term structure of interest rates. It is assumed that default‐free discount bond prices are determined by the time to maturity and two factors, the long‐term interest rate, and the spread (i.e., the difference) between the short‐term (insta