Short-Rate Models

Damir Filipović ()
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Damir Filipović: University of Vienna, and Vienna University of Economics and Business

Chapter Chapter 5 in Term-Structure Models, 2009, pp 79-92 from Springer

Abstract: Abstract The earliest stochastic interest rate models were models of the short rates. This chapter gives an introduction to diffusion short-rate models in general, and provides a survey of some standard models. Particular focus is on affine term-structures.

Keywords: Bond Price; Local Martingale; Short Rate; Swap Rate; Bond Option (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-68015-4_5

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DOI: 10.1007/978-3-540-68015-4_5

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