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https://elib.bsu.by/handle/123456789/50886| Title: | Forward Interest Rates And Volatility Of Zero Coupon Yield |
| Authors: | Medvedev, G. |
| Keywords: | ЭБ БГУ::ОБЩЕСТВЕННЫЕ НАУКИ::Информатика |
| Issue Date: | 2004 |
| Publisher: | Минск: БГУ |
| Abstract: | The analysis of the forward rate curve for enough wide class of one-factor affine models of the term structure that includes not only Vasiиek’s Gaussian model and CIR model «with a square root» but also models with any levels of the lower boundary of the short term (riskless) interest rate (see [13, 14, 16]) is resulted. The special attention is given to the problem connected with the tendency for the term structure of long term forward rates to slope downwards. |
| URI: | http://elib.bsu.by/handle/123456789/50886 |
| Appears in Collections: | Статьи факультета прикладной математики и информатики 2004. Международная конференция “Моделирование процессов и систем” |
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