TITLE:
Models of the Short Interest Rate in Discrete Processes
AUTHORS:
Naoyuki Ishimura, Bold Javkhlan, MasaAki Nakamura, Zheng Wei
KEYWORDS:
Short Interest Rates; One-factor Model; Discrete Processes
JOURNAL NAME:
Open Journal of Applied Sciences,
Vol.3 No.1B1,
July
11,
2013
ABSTRACT:
The modeling of the term structure of interest rates is
one of primary topics for researches in financial economics. Here we consider
models of the short interest rate in discrete processes. Our methodology of
analysis follows the framework of discrete stochastic calculus.