Modeling of interbank call loan rates with jump diffusion
The present study provides a model for interbank call loan rates (IBCLR) through jump diffusion modeling and link jumps with monetary interventions. Modeling the changes in IBCLR involves the evaluation of three sets of models: pure diffusion models, jump diffusion models, and other modeling approac...
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| Format: | text |
| Language: | English |
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Animo Repository
2004
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| Online Access: | https://animorepository.dlsu.edu.ph/etd_doctoral/95 https://animorepository.dlsu.edu.ph/context/etd_doctoral/article/1094/viewcontent/TG03933_F_Partial.pdf |
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| Institution: | De La Salle University |
| Language: | English |