Interest rate models and Whittaker functions

Dmitry Muravey

Papers from arXiv.org

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.

Date: 2014-05
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1405.2459

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