A short term interest rate model

Eckhard Platen ()

Finance and Stochastics, 1999, vol. 3, issue 2, 215-225

Abstract: This paper suggests a short term interest rate model. It incorporates inflation rate, market variance, market net growth rate and market volatility trend. Empirical evidence from different markets supports the model.

Keywords: Interest rate modelling; stochastic volatility; stochastic differential equations (search for similar items in EconPapers)
Date: 1999-01-29
Note: received: March 96; final version received: June 1998
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://link.springer.de/link/service/journals/00780/papers/9003002/90030215.pdf (application/pdf)
Access to the full text of the articles in this series is restricted

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:finsto:v:3:y:1999:i:2:p:215-225

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().