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q-fin.CP2014
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…
q-fin.CP2014★ 2 cited
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…