Modeling Interest Rates Using Reducible Stochastic Differential Equations
A Copula-based Multivariate Approach
Bibliographic Data
| ID | 20064555 |
|---|---|
| Authors | Ruijun Bu (0000-0002-3947-3038, University of Liverpool), Ludovic Giet (Aix-Marseille Sciences Economiques), Kaddour Hadri (Queen's University Belfast), Michel Lubrano (0000-0003-0448-0307, Centre National de la Recherche Scientifique) |
| Year | 2014 |
| Pages | 5-29 |
| Publication date | 2014-06-01 |
| Open Access | No |
| Type | CHAPTER |
| Venue | Econometric Methods and Their Applications in Finance, Macro and Related Fields (SOURCE_BOOK) |
| Publisher | World Scientific (PUBLISHER • SG) |
| DOI | 10.1142/9789814513470_0001 |
| OpenAlex | W2504252234 |
| ISBN | 9789814513470 |
| Language | EN |
The following sections are included:IntroductionNonlinear Multivariate ModelingRSDEs with Constant Elasticity VolatilityBivariate Modeling of US and UK Short-term Interest RatesConclusionAppendixReferences
Econometrics · Multivariate statistics · Statistics · Stochastic differential equation · Credit Risk and Financial Regulations · Mathematics · Stochastic processes and financial applications · Applied Mathematics
| Highly cited | No |
|---|