1. Eldorado
  2. Fakultäten
  3. 01 Fakultät für Mathematik
  4. Preprints der Fakultät für Mathematik
Full metadata record
DC FieldValueLanguage
dc.contributor.authorKaplun, Alexander-
dc.date.accessioned2009-10-20T08:43:41Z-
dc.date.available2009-10-20T08:43:41Z-
dc.date.issued2009-10-20T08:43:41Z-
dc.identifier.urihttp://hdl.handle.net/2003/26455-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-14157-
dc.description.abstractIn 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.isoen-
dc.relation.ispartofseriesPreprints der Fakultät für Mathematik ; 2009-12de
dc.subjectEhrenfest modelen
dc.subjectinterest rate derivativesen
dc.subjectshortrateen
dc.subjectterm structureen
dc.subjectVasicek modelen
dc.subjectzero-coupon bonden
dc.subject.ddc610-
dc.titleContinuous time Ehrenfest process in term structure modellingen
dc.typeTextde
dc.type.publicationtypepreprinten
dcterms.accessRightsopen access-
Appears in Collections:Preprints der Fakultät für Mathematik

Files in This Item:
File Description SizeFormat 
mathematicalPreprint12-09.pdf389.63 kBAdobe PDFView/Open


This item is protected by original copyright

View License
Show simple item record


This item is protected by original copyright rightsstatements.org