Interest Rate Modeling

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


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.


Interest Rate Inverse Problem Market Price Linear Complementarity Problem Market Data 
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  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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