Title

Remarks on some short rate term structure models

Authors

Authors

J. M. Yong

Comments

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Abbreviated Journal Title

J. Ind. Manag. Optim.

Keywords

term structure interest rate models; stochastic differential; inequalities; Engineering, Multidisciplinary; Operations Research & Management; Science; Mathematics, Interdisciplinary Applications

Abstract

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 Title

Journal of Industrial and Management Optimization

Volume

2

Issue/Number

2

Publication Date

1-1-2006

Document Type

Article

Language

English

First Page

119

Last Page

134

WOS Identifier

WOS:000242571800002

ISSN

1547-5816

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