نتایج جستجو برای: stochastic interest rate

تعداد نتایج: 1369047  

Journal: :Journal of Economic Dynamics and Control 2007

Journal: :Journal of Money, Credit and Banking 1972

Journal: :Časopis pro pěstování matematiky a fysiky 1935

2007
James G. Bridgeman

Prior work indicates that a regime-switching stochastic model with randomized regime parameters creates a more plausible set of extreme paths than do the usual stochastic interest rate models. Generalizing the Black-Karasinski model by randomizing the mean reversion target provides an example. Better to understand such models, as well as to calibrate their parameters without trial and error run...

Journal: :Journal of Banking & Finance 1996

Journal: :Journal of Economic Theory 2001

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