Long-term returns in stochastic interest rate models
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
Long-term returns in stochastic interest rate models
|
|
| Creator |
Zubchenko, V.
|
|
| Description |
We consider the behavior of integral functional of the solution of stochastic differential equation with coefficients contained small parameter. The dependence on the order of small parameter in every term of equation with Wiener process and Poisson measure term is studied. We observe the convergence of the long-term return, using an extension of the Cox-Ingersoll-Ross stochastic model of the short interest rate. Obtained results are applied for studying of two-factor stochastic interest rate model.
|
|
| Date |
2009-11-24T15:40:59Z
2009-11-24T15:40:59Z 2007 |
|
| Type |
Article
|
|
| Identifier |
Long-term returns in stochastic interest rate models / V. Zubchenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 247–261. — Бібліогр.: 11 назв.— англ.
0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4528 |
|
| Language |
en
|
|
| Publisher |
Інститут математики НАН України
|
|