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Interest rate models and Whittaker functions

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  • Dmitry Muravey

Abstract

I present the technique which can analyse some interest rate models: Constantinides-Ingersoll, CIR-model, geometric CIR and Geometric Brownian Motion. All these models have the unified structure of Whittaker function. The main focus of this text is closed-form solutions of the zero-coupon bond value in these models. In text I emphasize the specific details of mathematical methods of their determination such as Laplace transform and hypergeometric functions.

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  • Dmitry Muravey, 2014. "Interest rate models and Whittaker functions," Papers 1405.2459, arXiv.org.
    • Handle: RePEc:arx:papers:1405.2459
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