A Remark on Spot Rate Models Induced by an Equilibrium Model A Remark on Spot Rate Models Induced by an Equilibrium Model

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Author(s)

Abstract

Cox-Ingersoll-Ross presented so-called CIR spot rate model, which is explained by their equilibrium model. We set an economy model with a slight modification of their model in terms of semimartingale and show the existence of equilibrium in our model. Furthermore, we discuss interest rate under equilibrium and show the general form of spot rate dynamics induced from our equilibrium model.

Journal

  • Journal of mathematical sciences, the University of Tokyo

    Journal of mathematical sciences, the University of Tokyo 6(3), 453-475, 1999

    Graduate School of Mathematical Sciences, The University of Tokyo

Codes

  • NII Article ID (NAID)
    110000071373
  • NII NACSIS-CAT ID (NCID)
    AA11021653
  • Text Lang
    ENG
  • Article Type
    departmental bulletin paper
  • ISSN
    1340-5705
  • Data Source
    NII-ELS  IR 
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