Long-term returns in stochastic interest rate models

dc.contributor.author	Zubchenko, V.
dc.date.accessioned	2009-11-24T15:40:59Z
dc.date.available	2009-11-24T15:40:59Z
dc.date.issued	2007
dc.identifier.citation	Long-term returns in stochastic interest rate models / V. Zubchenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 247–261. — Бібліогр.: 11 назв.— англ.	en_US
dc.identifier.issn	0321-3900
dc.identifier.uri	http://dspace.nbuv.gov.ua/handle/123456789/4528
dc.description.abstract	We consider the behavior of integral functional of the solution of stochastic differential equation with coefficients contained small parameter. The dependence on the order of small parameter in every term of equation with Wiener process and Poisson measure term is studied. We observe the convergence of the long-term return, using an extension of the Cox-Ingersoll-Ross stochastic model of the short interest rate. Obtained results are applied for studying of two-factor stochastic interest rate model.	en_US
dc.language	Інститут математики НАН України
dc.language.iso	en	en_US
dc.publisher	Інститут математики НАН України	en_US
dc.title	Long-term returns in stochastic interest rate models	en_US
dc.type	Article	en_US
dc.status	published earlier	en_US