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Interest Rate Modeling

  • You-lan Zhu
  • Xiaonan Wu
  • I-Liang Chern
  • Zhi-zhong Sun
Chapter
Part of the Springer Finance book series (FINANCE)

Abstract

As pointed out in  Sect. 2.3, when the short-term interest rate is considered as a random variable, there is an unknown function λ(r, t), called the market price of risk, in the governing equation.

Keywords

Interest Rate Inverse Problem Market Price Linear Complementarity Problem Market Data 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

References

  1. 89.
    Zhang, G.-Q, Li, P.-J.: An inverse problem of derivative security pricing. In: Hon, Y.-C., Yamamoto, M., Cheng, J., Lee, J.-Y. (eds.) Recent Development in Theory and Numerics. International Conference on Inverse Problems, pp. 411–419. World Scientific, Singapore (2003)Google Scholar
  2. 96.
    Zhu, Y.-l., Yang, C.: Pricing American swaptions by using three-factor interest rate models. Working Paper, University of North Carolina at Charlotte, Charlotte (2004)Google Scholar

Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  • You-lan Zhu
    • 1
  • Xiaonan Wu
    • 2
  • I-Liang Chern
    • 3
  • Zhi-zhong Sun
    • 4
  1. 1.Department of Mathematics & StatisticsUniversity of North CarolinaCharlotteUSA
  2. 2.Department of MathematicsHong Kong Baptist UniversityHong KongPeople’s Republic of China
  3. 3.Department of MathematicsNational Taiwan UniversityTaipeiTaiwan R.O.C.
  4. 4.Department of MathematicsSoutheast UniversityNanjingPeople’s Republic of China

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