Remarks on some short rate term structure models

    Authors

    J. M. Yong

    Comments

    Authors: contact us about adding a copy of your work at STARS@ucf.edu

    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

    Share

    COinS