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…

Papers overview

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2018

2013

We investigate default-free bond markets where the standard re- lationship between a possibly existing bank account process and…

2012

2011

This paper analyses the implicit dynamics underlying the interest rate structure in Kenya. For this purpose we use data on four…

2009

We consider a problem of an optimal consumption strategy on the infinite time horizon when the short-rate is a diffusion process…

2009

Starting from a general Itô process model with more assets than driving Brownian motions, we study the term structure model…

2008

Review

2003

Review

2003

The aim of this paper is twofold. In the first part I review some of the main theories of the term structure dynamics. These…

1994

1993