Modelling Interest Rate Dynamics

Carl Chiarella, Xuezhong (Tony) He () and Christina Sklibosios Nikitopoulos
Additional contact information
Christina Sklibosios Nikitopoulos: University of Technology Sydney

Chapter Chapter 22 in Derivative Security Pricing, 2015, pp 439-467 from Springer

Abstract: Abstract In this chapter, we establish the fundamental relationships between interest rates, bond prices and forward rates. We further discuss the modelling of interest rates and analyse typical models for the spot interest rate and the forward rates. As we desire interest rates to be non-negative, we seek stochastic processes with this feature such as the Feller process. Thus we present the motivation of the Feller process and its relevance to the interest rate modelling. We also summarise the main results of Fubini’s theorem, that are very useful for modelling forward rates.

Keywords: Interest Rate; Stochastic Differential Equation; Forward Rate; Spot Rate; Bond Price (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-662-45906-5_22

Ordering information: This item can be ordered from
http://www.springer.com/9783662459065

DOI: 10.1007/978-3-662-45906-5_22

Access Statistics for this chapter

More chapters in Dynamic Modeling and Econometrics in Economics and Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().