Models of the shot interest rate dynamics with theta- differentials

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Petr Lappo, Belarus
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Summary:
Models of the shot interest rate dynamics with theta- differentials are considered in this paper. Stochastic differential equations with theta- differentials are in some sense generalization of the Ito equations, which are a special case when theta=0. The term structure equation is obtained and some concrete models are considered.
 
Date: 1 June - Time: 8:30 to 10:30 - Room: 251
Theme: 1.A. Stochastic dependence