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An interest rate model in uncertain environment

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Abstract

Interest rate is an important economic indicator which plays a crucial role in the financial market. Based on the interest rate, the price of the zero-coupon bond is another important indicator to measure the economic level. Therefore, the study on the price of the zero-coupon bonds with different maturity dates is a fundamental issue in economics. This paper regards the interest rate as an uncertain process and prices the zero-coupon bond through the uncertain interest model. In addition, this paper proposes a general interest rate model in uncertain environment and employs a numerical method to price the zero-coupon bond.

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Acknowledgments

This work was supported by National Natural Science Foundation of China Grants No. 91224008 and No. 61273044.

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Authors and Affiliations

  1. Department of Mathematical Sciences, Tsinghua University, Beijing , 100084, China

    Dengya Jiao

  2. School of Management, University of Chinese Academy of Sciences, Beijing , 100190, China

    Kai Yao

Authors
  1. Dengya Jiao
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  2. Kai Yao
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Correspondence to Kai Yao.

Additional information

Communicated by T. Allahviranloo.

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Jiao, D., Yao, K. An interest rate model in uncertain environment. Soft Comput 19, 775–780 (2015). https://doi.org/10.1007/s00500-014-1301-1

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  • DOI: https://doi.org/10.1007/s00500-014-1301-1

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