SYMPOSIUM ON TERM STRUCTURE MODELS AND INTEREST RATE VOLATILITY - QUADRATIC INTEREST RATE MODELS As APPROXIMATIONS TO EFFECTIVE RATE MODELS - Many of the classic stochastic interest rate models use the instantaneous spot rate as the fundamental state variable. For both practical and theoretical reasons, it is sometimes convenient to base the model on the effective interest rate over some period ...
| Year of publication: |
1999
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| Authors: | Boyle, Phelim P. ; Tian, Weidong |
| Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 9.1999, 3, p. 69-81
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