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Short-rate model

Known as: Kalotay-Williams-Fabozzi model, Kalotay–Williams–Fabozzi model, Longstaff-Schwartz model 
A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by… 
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Papers overview

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2010
2010
In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models… 
2010
2010
The lognormal diffusion process is mathematically tractable and incorporates the kind of continuous random evolution of the price… 
2009
2009
We estimate regime switching models for emerging market interest rates and embed the obtained nonlinear dynamics in a small open… 
2008
2008
In this paper, we propose a nonparametric estimator of the short rate diffusion process using observations of a panel of yields… 
2006
2006
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse… 
2005
2005
Abstract.This paper presents a new approach to interest rate dynamics. We consider the general family of arbitrage-free positive… 
Highly Cited
1984
Highly Cited
1984
Continuous phase frequency shift keying (CPFSK) is a constant amplitude modulation method with good spectral sidelobe properties…