Remarks on some short rate term structure models
Abbreviated Journal Title
J. Ind. Manag. Optim.
term structure interest rate models; stochastic differential; inequalities; Engineering, Multidisciplinary; Operations Research & Management; Science; Mathematics, Interdisciplinary Applications
Some widely used short interest rate term structure models are discussed. By establishing certain estimates on the solutions of stochastic differential inequalities, we found that the interest rate processes obtained from these models do not have enough integrability which leads to some defects in several applications.
Journal of Industrial and Management Optimization
"Remarks on some short rate term structure models" (2006). Faculty Bibliography 2000s. 6740.