activity
20082016
most citedNumerical and analytical methods for bond pricing in short rate convergence models of interest rates

2 citations · 4 across the 4 of their papers we have counts for

collaborators
Showing 2008Show all

1 paper · 1 filter

q-fin.ST2008

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…