Long-term returns in stochastic interest rate models
We consider the behavior of integral functional of the solution of stochastic differential equation with coefficients contained small parameter. The dependence on the order of small parameter in every term of equation with Wiener process and Poisson measure term is studied. We observe the convergenc...
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| Дата: | 2007 |
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| Автор: | |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4528 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | Long-term returns in stochastic interest rate models / V. Zubchenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 247–261. — Бібліогр.: 11 назв.— англ. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
irk-123456789-4528 |
|---|---|
| record_format |
dspace |
| spelling |
irk-123456789-45282009-11-25T12:00:39Z Long-term returns in stochastic interest rate models Zubchenko, V. We consider the behavior of integral functional of the solution of stochastic differential equation with coefficients contained small parameter. The dependence on the order of small parameter in every term of equation with Wiener process and Poisson measure term is studied. We observe the convergence of the long-term return, using an extension of the Cox-Ingersoll-Ross stochastic model of the short interest rate. Obtained results are applied for studying of two-factor stochastic interest rate model. 2007 Article Long-term returns in stochastic interest rate models / V. Zubchenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 247–261. — Бібліогр.: 11 назв.— англ. 0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4528 en Інститут математики НАН України |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| language |
English |
| description |
We consider the behavior of integral functional of the solution of stochastic differential equation with coefficients contained small parameter. The dependence on the order of small parameter in every term of equation with Wiener process and Poisson measure term is studied. We observe the convergence of the long-term return, using an extension of the Cox-Ingersoll-Ross stochastic model of the short interest rate. Obtained results are applied for studying of two-factor stochastic interest rate model. |
| format |
Article |
| author |
Zubchenko, V. |
| spellingShingle |
Zubchenko, V. Long-term returns in stochastic interest rate models |
| author_facet |
Zubchenko, V. |
| author_sort |
Zubchenko, V. |
| title |
Long-term returns in stochastic interest rate models |
| title_short |
Long-term returns in stochastic interest rate models |
| title_full |
Long-term returns in stochastic interest rate models |
| title_fullStr |
Long-term returns in stochastic interest rate models |
| title_full_unstemmed |
Long-term returns in stochastic interest rate models |
| title_sort |
long-term returns in stochastic interest rate models |
| publisher |
Інститут математики НАН України |
| publishDate |
2007 |
| url |
http://dspace.nbuv.gov.ua/handle/123456789/4528 |
| citation_txt |
Long-term returns in stochastic interest rate models / V. Zubchenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 247–261. — Бібліогр.: 11 назв.— англ. |
| work_keys_str_mv |
AT zubchenkov longtermreturnsinstochasticinterestratemodels |
| first_indexed |
2023-03-24T08:30:34Z |
| last_indexed |
2023-03-24T08:30:34Z |
| _version_ |
1796139190076833792 |