Modelling the stochastic behaviour of short-term interest rates: A survey

Aas, Kjersti

September 01, 2004

SAMBA

• Areas: Finance, insurance and power market
• Keywords: Interest rate, CIR-model, GARCH, level-GARCH, mean-reversion
• Page(s): 10
• Name and number of project: 220195
• Title: Modelling the stochastic behaviour of short-term interest rates: A survey
• Author(s): Aas, Kjersti
• Report number: SAMBA/21/04
• Published date: September 01, 2004