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A short term interest rate model

Author

Listed:
  • Eckhard Platen

    (University of Technology Sydney, School of Finance and Economics and School of Mathematical Sciences, P.O. Box 123, Broadway, NSW 2007 Australia Manuscript)

Abstract

This paper suggests a short term interest rate model. It incorporates inflation rate, market variance, market net growth rate and market volatility trend. Empirical evidence from different markets supports the model.

Suggested Citation

  • Eckhard Platen, 1999. "A short term interest rate model," Finance and Stochastics, Springer, vol. 3(2), pages 215-225.
    • Handle: RePEc:spr:finsto:v:3:y:1999:i:2:p:215-225
    Note: received: March 96; final version received: June 1998
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    Citations

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    Cited by:

    1. K. Fergusson, 2017. "Asymptotics Of Bond Yields And Volatilities For Extended Vasicek Models Under The Real-World Measure," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-33, March.
    2. Jan Baldeaux & Fung & Katja Ignatieva & Eckhard Platen, 2015. "A Hybrid Model for Pricing and Hedging of Long-dated Bonds," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(4), pages 366-398, September.
    3. Eckhard Platen & Willi Semmler, 2009. "Asset Markets and Monetary Policy," Research Paper Series 247, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. K. Fergusson & E. Platen, 2015. "Application Of Maximum Likelihood Estimation To Stochastic Short Rate Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-26, December.
    5. repec:uts:finphd:40 is not listed on IDEAS
    6. Fergusson, Kevin, 2020. "Less-Expensive Valuation And Reserving Of Long-Dated Variable Annuities When Interest Rates And Mortality Rates Are Stochastic," ASTIN Bulletin, Cambridge University Press, vol. 50(2), pages 381-417, May.
    7. Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018. "Detecting money market bubbles," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 369-379.
    8. Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018.

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