2 citations · 4 across the 4 of their papers we have counts for
4 papers
Numerical and analytical methods for bond pricing in short rate convergence models of interest rates
Zuzana Buckova, Beata Stehlikova, Daniel Sevcovic
In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest…
Perturbation analysis of a nonlinear equation arising in the Schaefer-Schwartz model of interest rates
Beata Stehlikova
We deal with the interest rate model proposed by Schaefer and Schwartz, which models the long rate and the spread, defined as the difference between the short and the long rates. T…
Approximating the zero-coupon bond price in a general one-factor model with constant coefficients
Beata Stehlikova
We consider a general one-factor short rate model, in which the instantaneous interest rate is driven by a univariate diffusion with time independent drift and volatility. We const…
On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures
B. Stehlikova, D. Sevcovic
The purpose of this paper is to study the generalized Fong--Vasicek two-factor interest rate model with stochastic volatility. In this model the dispersion of the stochastic short…