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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Papers overview

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2015
2015
APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS
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
THE WISHART SHORT-RATE MODEL
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
Continuous-Time Short Rate Models
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
Optimal Consumption Problem in a Diffusion Short-Rate Model
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
Robust GMM analysis of models for the short rate process
  • 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
Short rate nonlinearities and regime switches
  • 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
On deterministic – shift extensions of short – rate models ∗
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
Shifting endpoints in the term structure of interest rates
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
THE MARKET MODEL OF INTEREST RATE DYNAMICS
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
Modeling the conditional distribution of interest rates as a regime-switching process
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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