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Interest Rate Models

In: Stochastic Processes and Calculus

Author

Listed:
  • Uwe Hassler

    (Goethe University Frankfurt)

Abstract
The results from the previous chapter will be applied to stochastic differential equations that were suggested in the literature for modeling interest rate dynamics. However, we do not model yield curves with various maturities, but consider the model for one interest rate only driven by one Wiener process (one-factor model). The next section starts with the general Ornstein-Uhlenbeck process which has the drawback of allowing for negative values. Subsequently, we discuss linear models for which negativity is ruled out. Finally, a class of nonlinear models will be considered.

Suggested Citation

  • Uwe Hassler, 2016. "Interest Rate Models," Springer Texts in Business and Economics, in: Stochastic Processes and Calculus, edition 1, chapter 13, pages 285-302, Springer.
    • Handle: RePEc:spr:sptchp:978-3-319-23428-1_13
    DOI: 10.1007/978-3-319-23428-1_13
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