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… (More)
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2015
2015
The application of maximum likelihood estimation is not well studied for stochastic short rate models because of the cumbersome… (More)
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2014
2014
We consider a short rate model, driven by a stochastic process on the cone of positive semidefinite matrices. We derive… (More)
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Review
2010
Review
2010
These notes provide an overview of singleand multi-factor models of the short rate. We will begin with a generic single-factor… (More)
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2009
2009
We consider a problem of an optimal consumption strategy on the infinite time horizon when the short-rate is a diffusion process… (More)
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2003
2003
  • Rosario Dell’Aquilaa, Elvezio Ronchettib, Fabio Trojanib
  • 2003
We re-examine the empirical evidence concerning a well-known class of one-factor models for the short rate process (cf. Chan et… (More)
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Highly Cited
2002
Highly Cited
2002
  • Andrew Anga, Geert Bekaertb
  • 2002
Using non-parametric estimation methods, various authors have shown distinct non-linearities in the drift and volatility function… (More)
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2001
2001
In the present paper we show how to extend any time–homogeneous short–rate model to a model which can reproduce any observed… (More)
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Highly Cited
2001
Highly Cited
2001
This paper links the term structure to perceptions of moneta ry policy. Long-horizon forecasts of short rates required by no… (More)
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Highly Cited
1997
Highly Cited
1997
A class of term structure models with volatility of lognormal type is analyzed in the general HJM framework. The corresponding… (More)
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Highly Cited
1995
Highly Cited
1995
This paper develops a generalized regime-switching (GRS) model of the short-term interest rate. The model allows the short rate… (More)
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