Interest Rate Modelling pp 77-93 | Cite as
Langetieg’s Multi-Factor Equilibrium Framework
Chapter
The term structure of interest rates is embedded in the macro-economic system and is related to various economic factors. For this reason, Langetieg [36] proposes a model that can accommodate an arbitrary number of economic variables. The model is essentially an extension of Vasicek’s term structure model [50], studied in Chapter 1, with multiple sources of uncertainty.
Keywords
Interest Rate Bond Price Stochastic Factor Girsanov Theorem Negative Interest Rate
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© Simona Svoboda 2004