Continuous and Discrete Time Modeling of Short-Term Interest Rates
Continuous and Discrete Time Modeling of Short-Term Interest Rates
复制标题
短期利率的连续和离散时间建模
DOI：
10.1057/9780230295209_9
复制
发表时间：
2011
影响因子：
8.2
通讯作者：
W. Semmler
中科院分区：
文献类型：
--
作者：
Chih;W. Semmler
In modern finance theory, the short-term interest rate is important in characterizing the term structure of interest rates and in pricing interest-rate-contingent-claims. There is some pioneering work in the continuous-time framework, for example by Vasicek (1997) and Cox et al. (1985). A survey of is provided by Chan et al. (1992). Chan et al. (1992) show that a wide variety of well-known one-factor models for short rates can be nested within the following stochastic different equation (SDE):
$$d{{X}_{t}}=\left( {c-\beta {{X}_{t}}} \right)dt+\sigma X_{t}^{\gamma }d{{W}_{t}}.$$
(9.1)
In modern finance theory, the short-term interest rate is important in characterizing the term structure of interest rates and in pricing interest-rate-contingent-claims. There is some pioneering work in the continuous-time framework, for example by Vasicek (1997) and Cox et al. (1985). A survey of is provided by Chan et al. (1992). Chan et al. (1992) show that a wide variety of well-known one-factor models for short rates can be nested within the following stochastic different equation (SDE):
$$d{{X}_{t}}=\left( {c-\beta {{X}_{t}}} \right)dt+\sigma X_{t}^{\gamma }d{{W}_{t}}.$$
(9.1)