The mean internal interest-intensity in a certain stochastic interest-model
β Scribed by Erhard Kremer
- Book ID
- 105635097
- Publisher
- Springer-Verlag
- Year
- 2001
- Tongue
- German
- Weight
- 109 KB
- Volume
- 25
- Category
- Article
- ISSN
- 1864-0281
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π SIMILAR VOLUMES
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.
## Abstract This article presents a twoβfactor model of the term structure of interest rates. It is assumed that defaultβfree discount bond prices are determined by the time to maturity and two factors, the longβterm interest rate, and the spread (i.e., the difference) between the shortβterm (insta