Three models of the term structure of interest rates
In this dissertation, we consider the stochastic volatility of short rates, the jump property of short rates, and market expectation of changes in interest rates as the crucial factors in explaining the term structure of interest rates. In each chapter, we model the term structure of interest rates...
| Main Author: | |
|---|---|
| Published: |
University of Warwick
1998
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.310827 |