Interest rates: Shadow interest - Using a Vasicek process for the shadow rate, the authors develop an analytical solution for pricing zero-coupon bonds using eigenfunction expansions, and show how to calibrate their model to the Japanese bond market.
| Year of publication: |
2003
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|---|---|
| Authors: | Gorovoi, Viatcheslav ; Linetsky, Vadim |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 16.2003, 12, p. 81-84
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