A positive interest rate model with sticky barrier
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- Hidenori Futami, 2009. "Multi-factor Affine Term Structure Model with Single Regime Shift: Real Term Structure under Zero Interest Rate," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 347-369, December.
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KeywordsShort-term interest rate models; Partial integro-differential equation; Zero-interest rate; Finite difference methods;
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