Drift and Diffusion Function Specification for Short-Term Interest Rates
Various stochastic differential equation models for short rates (rt) have been proposed, where the change (Δrt = rt−rt−1) is modeled as a sum of drift and diffusion terms depending on rt−1. These models, however, have some shortcomings. First, the same model may not apply to all countries. Second, t...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2005
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/177 https://ink.library.smu.edu.sg/context/soe_research/article/1176/viewcontent/DriftDiffusionFunction_Specification_2005.pdf |
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| Institution: | Singapore Management University |
| Language: | English |