Mean-Reverting Stochastic Processes, Evaluation of Forward Prices and Interest Rates
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References listed on IDEAS
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
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Keywords: Stochastic Differential Geometry; Mean-Reverting Stochastic Processes and Term Structure of Specific (Some) Economic/Finance Instruments;
- A12 - General Economics and Teaching - - General Economics - - - Relation of Economics to Other Disciplines
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-27 (All new papers)
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