Abstract
In chapter 1, a three-factor model of interest rates was developed. In the model the three factors are 1) the current short rate, 2) the short-term mean of the short rate, and 3) the current volatility of the short rate. Furthermore, it was assumed that both the mean and the volatility of the short rate are stochastic and follow Feller processes.
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© 1996 Springer-Verlag Berlin Heidelberg
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Chen, L. (1996). Pricing Interest Rate Derivatives. In: Interest Rate Dynamics, Derivatives Pricing, and Risk Management. Lecture Notes in Economics and Mathematical Systems, vol 435. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-46825-4_2
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DOI: https://doi.org/10.1007/978-3-642-46825-4_2
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-60814-1
Online ISBN: 978-3-642-46825-4
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