“Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 18 (2011)
Issue (Month): 1 (March)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Large deviations control; Risk-sensitive stochastic control; Bellman equation; Long-term investment; CIR-interest rates; Bessel process with linear drift;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Hiroaki Hata & Hideo Nagai & Shuenn-Jyi Sheu, 2010. "Asymptotics of the probability minimizing a "down-side" risk," Papers 1001.2131, arXiv.org.
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