Interest Rate Modeling

You-lan Zhu, Xiaonan Wu, I-Liang Chern and Zhi-zhong Sun
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You-lan Zhu: University of North Carolina
Xiaonan Wu: Hong Kong Baptist University
I-Liang Chern: National Taiwan University
Zhi-zhong Sun: Southeast University

Chapter 10 in Derivative Securities and Difference Methods, 2013, pp 605-636 from Springer

Abstract: Abstract As pointed out in Sect. 2.3 , when the short-term interest rate is considered as a random variable, there is an unknown function λ(r, t), called the market price of risk, in the governing equation.

Keywords: Interest Rate; Inverse Problem; Market Price; Linear Complementarity Problem; Market Data (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/978-1-4614-7306-0_10

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