Pricing Interest Rate Derivatives

descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Other literature type 01 Jan 1996Publisher:Springer Berlin Heidelberg

Authors: Lin Chen;

doi: 10.1007/978-3-642-46825-4_2

Pricing Interest Rate Derivatives

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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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Nanyang Technological University
Singapore

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