Solutions and Simulations of Some One-Dimensional Stochastic Differential Equations
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Volume (Year): 17 (2010)
Issue (Month): 4 (December)
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- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005.
"A Theory Of The Term Structure Of Interest Rates,"
World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164
World Scientific Publishing Co. Pte. Ltd..
- 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.
- J.M.PAlbin, J.M.P & Astrup Jensen, Bjarne & Muszta, Anders & Martin, Richter, 2007. "On Volatility induced Stationarity for Stochastic Differential Equations," Working Papers 2006-10, Copenhagen Business School, Department of Finance.
- Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
- Tom Doan, "undated". "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.
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