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On the Quasi Gaussian Interest Rate Models

On the Quasi Gaussian Interest Rate Models In this paper some remarks on the interest rate model proposed by Jamishidian (1991) and Ritchken and Sankarasubramanian (1995b) are presented. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Asia-Pacific Financial Markets Springer Journals

On the Quasi Gaussian Interest Rate Models

Akahori, Jirô
Asia-Pacific Financial Markets , Volume 6 (1) – Oct 1, 2004
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Publisher
Springer Journals
Copyright
Copyright © 1999 by Kluwer Academic Publishers
Subject
Finance; Finance, general; Macroeconomics/Monetary Economics//Financial Economics; International Economics; Econometrics; Economic Theory/Quantitative Economics/Mathematical Methods
ISSN
1387-2834
eISSN
1573-6946
DOI
10.1023/A:1010050324643
Publisher site
See Article on Publisher Site

Abstract

In this paper some remarks on the interest rate model proposed by Jamishidian (1991) and Ritchken and Sankarasubramanian (1995b) are presented.

Journal

Asia-Pacific Financial Markets – Springer Journals

Published: Oct 1, 2004

References

  • Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation
    Heath, D.; Jarrow, R.; Morton, A.
  • Bond and option evaluation in the Gaussian interest rate model
    Jamshidian, F.
  • Lattice models for pricing American interest rate claims
    Ritchken, P.; Sankarasubramanian, L.
  • Volatility structure of forward rates and the dynamics of the term structure
    Ritchken, P.; Sankarasubramanian, L.