Milan Stehlik, Jozef Kiselak, R. Potocky, Pavlina Jordanova,
"Generalized Interest Rate Dynamics and its impacts on finance and pensions"
, in Stochastic Analysis and Applications, Vol. 35, Nummer 1, Seite(n) 178-190, 2017, ISSN: 0736-2994
Original Titel:
Generalized Interest Rate Dynamics and its impacts on finance and pensions
Sprache des Titels:
Englisch
Original Kurzfassung:
The recent global financial crisis caused implementation of negative or close to zero interest rates. This situation implies necessity to study flexible and simplistic model of interest rate, which well accomodates oscillations, cycles and negative signs. In this paper we introduce novel nonlinear stochastic interest rate model, which as special case incorporates standard linear model of Parker. Many practical implications for finance and pensions are obtained.
Forschungs-