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Short-rate model
Known as:
Kalotay-Williams-Fabozzi model
, Kalotay–Williams–Fabozzi model
, Longstaff-Schwartz model
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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 model
Black–Derman–Toy model
Black–Karasinski model
Chen model
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2014
2014
Optimal stopping in infinite horizon: An eigenfunction expansion approach
Lingfei Li
,
V. Linetsky
2014
Corpus ID: 42793451
2010
2010
Analytical Approximations for Short Rate Models
A. Antonov
,
Michael Spector
2010
Corpus ID: 55148261
In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models…
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2010
2010
An Interest Rate Tree Driven by a Lévy Process
Donatien Hainaut
,
R. Macgilchrist
2010
Corpus ID: 59480942
The lognormal diffusion process is mathematically tractable and incorporates the kind of continuous random evolution of the price…
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2009
2009
Regime Switching Interest Rates and Fluctuations in Emerging Markets
Bertrand Gruss
,
Karel Mertens
2009
Corpus ID: 67796453
We estimate regime switching models for emerging market interest rates and embed the obtained nonlinear dynamics in a small open…
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2008
2008
Nonparametric Estimation of the Short Rate Diffusion from a Panel of Yields
Abdoul G. Sam
,
G. Jiang
2008
Corpus ID: 59469481
In this paper, we propose a nonparametric estimator of the short rate diffusion process using observations of a panel of yields…
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2006
2006
Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
D. Bolder
2006
Corpus ID: 59579843
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse…
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2006
2006
The volatility of the instantaneous spot interest rate implied by arbitrage pricing - A dynamic Bayesian approach
R. Bhar
,
C. Chiarella
,
Hing Hung
,
W. Runggaldier
at - Automatisierungstechnik
2006
Corpus ID: 1131941
2005
2005
A chaotic approach to interest rate modelling
L. Hughston
,
Avraam Rafailidis
Finance and Stochastics
2005
Corpus ID: 15526031
Abstract.This paper presents a new approach to interest rate dynamics. We consider the general family of arbitrage-free positive…
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1993
1993
An Empirical Analysis of Stock Price and Interest Rate Dynamics: The Role of Money
W. D. Lastrapes
1993
Corpus ID: 153683883
Highly Cited
1984
Highly Cited
1984
Minimum Euclidean distance for combinations of short rate 1/2 convolutional codes and CPFSK modulation
G. Lindell
,
C. Sundberg
,
T. Aulin
IEEE Transactions on Information Theory
1984
Corpus ID: 397541
Continuous phase frequency shift keying (CPFSK) is a constant amplitude modulation method with good spectral sidelobe properties…
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