Abstract
The earliest stochastic interest rate models were models of the short rates. This chapter gives an introduction to diffusion short-rate models in general, and provides a survey of some standard models. Particular focus is on affine term-structures.
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© 2009 Springer-Verlag Berlin Heidelberg
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Filipović, D. (2009). Short-Rate Models. In: Term-Structure Models. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-68015-4_5
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DOI: https://doi.org/10.1007/978-3-540-68015-4_5
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-09726-6
Online ISBN: 978-3-540-68015-4
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