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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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Related topics

Related topics

18 relations
Binomial options pricing modelBlack–Derman–Toy modelBlack–Karasinski modelChen model

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2017
2017
On swap rate dynamics: to freeze or not to freeze?
ABSTRACT We explore the implications of a common market and academic practice which is known as ‘freezing the drift’ when dealing… 
2014
2014
Optimal stopping in infinite horizon: An eigenfunction expansion approach
2010
2010
An Interest Rate Tree Driven by a Lévy Process
The lognormal diffusion process is mathematically tractable and incorporates the kind of continuous random evolution of the price… 
2009
2009
Regime Switching Interest Rates and Fluctuations in Emerging Markets
We estimate regime switching models for emerging market interest rates and embed the obtained nonlinear dynamics in a small open… 
2008
2008
Nonparametric Estimation of the Short Rate Diffusion from a Panel of Yields
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 for Risk Management: A Practitioner's Perspective
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse… 
2006
2006
The volatility of the instantaneous spot interest rate implied by arbitrage pricing - A dynamic Bayesian approach
2005
2005
A chaotic approach to interest rate modelling
Abstract.This paper presents a new approach to interest rate dynamics. We consider the general family of arbitrage-free positive… 
1993
1993
An Empirical Analysis of Stock Price and Interest Rate Dynamics: The Role of Money
Highly Cited
1984
Highly Cited
1984
Minimum Euclidean distance for combinations of short rate 1/2 convolutional codes and CPFSK modulation
Continuous phase frequency shift keying (CPFSK) is a constant amplitude modulation method with good spectral sidelobe properties… 
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