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A short term interest rate model

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Abstract.

This paper suggests a short term interest rate model. It incorporates inflation rate, market variance, market net growth rate and market volatility trend. Empirical evidence from different markets supports the model.

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Authors and Affiliations

  1. University of Technology Sydney, School of Finance and Economics and School of Mathematical Sciences, P.O. Box 123, Broadway, NSW 2007 Australia (e-mail: eckhard.platen@maths.anu.edu.au) , , , , , , AU

    Eckhard Platen

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  1. Eckhard Platen
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Manuscript received: March 96; final version received: June 1998

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Platen, E. A short term interest rate model. Finance Stochast 3, 215–225 (1999). https://doi.org/10.1007/s007800050059

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  • DOI: https://doi.org/10.1007/s007800050059

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