Full metadata record
DC Field | Value | Language |
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dc.contributor.author | Kaplun, Alexander | - |
dc.date.accessioned | 2009-10-20T08:43:41Z | - |
dc.date.available | 2009-10-20T08:43:41Z | - |
dc.date.issued | 2009-10-20T08:43:41Z | - |
dc.identifier.uri | http://hdl.handle.net/2003/26455 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-14157 | - |
dc.description.abstract | In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be derived in the general and the special symmetric cases. Its limiting relationship to the Vasicek model will be examined with some numerical results. | en |
dc.language.iso | en | - |
dc.relation.ispartofseries | Preprints der Fakultät für Mathematik ; 2009-12 | de |
dc.subject | Ehrenfest model | en |
dc.subject | interest rate derivatives | en |
dc.subject | shortrate | en |
dc.subject | term structure | en |
dc.subject | Vasicek model | en |
dc.subject | zero-coupon bond | en |
dc.subject.ddc | 610 | - |
dc.title | Continuous time Ehrenfest process in term structure modelling | en |
dc.type | Text | de |
dc.type.publicationtype | preprint | en |
dcterms.accessRights | open access | - |
Appears in Collections: | Preprints der Fakultät für Mathematik |
Files in This Item:
File | Description | Size | Format | |
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mathematicalPreprint12-09.pdf | 389.63 kB | Adobe PDF | View/Open |
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