A short term interest rate model
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Note: received: March 96; final version received: June 1998
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Cited by:
- Eckhard Platen & Willi Semmler, 2009. "Asset Markets and Monetary Policy," Research Paper Series 247, Quantitative Finance Research Centre, University of Technology, Sydney.
- K. Fergusson & E. Platen, 2015.
"Application Of Maximum Likelihood Estimation To Stochastic Short Rate Models,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-26, December.
- Kevin Fergusson & Eckhard Platen, 2015. "Application of Maximum Likelihood Estimation to Stochastic Short Rate Models," Research Paper Series 361, Quantitative Finance Research Centre, University of Technology, Sydney.
- repec:uts:finphd:40 is not listed on IDEAS
- Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018.
"Detecting money market bubbles,"
Journal of Banking & Finance, Elsevier, vol. 87(C), pages 369-379.
- Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016. "Detecting Money Market Bubbles," Research Paper Series 378, Quantitative Finance Research Centre, University of Technology, Sydney.
- K. Fergusson, 2017. "Asymptotics Of Bond Yields And Volatilities For Extended Vasicek Models Under The Real-World Measure," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-33, March.
- Jan Baldeaux & Fung & Katja Ignatieva & Eckhard Platen, 2015.
"A Hybrid Model for Pricing and Hedging of Long-dated Bonds,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(4), pages 366-398, September.
- Jan Baldeaux & Man Chung Fung & Katja Ignatieva & Eckhard Platen, 2014. "A Hybrid Model for Pricing and Hedging of Long Dated Bonds," Research Paper Series 343, Quantitative Finance Research Centre, University of Technology, Sydney.
- Fergusson, Kevin, 2020. "Less-Expensive Valuation And Reserving Of Long-Dated Variable Annuities When Interest Rates And Mortality Rates Are Stochastic," ASTIN Bulletin, Cambridge University Press, vol. 50(2), pages 381-417, May.
- Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018, January-A.
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Keywords
Interest rate modelling; stochastic volatility; stochastic differential equations;All these keywords.
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