| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9663904 | European Journal of Operational Research | 2005 | 16 Pages |
Abstract
The paper presents a state dependent multinomial model of intertemporal changes in the term structure of interest rates. The model is a one-factor interest-rate model within the Markov family models for short-term interest rate and it extends the Ho and Lee [J. Finance XLI (5) (1986) 1001] binomial model. We derive the theoretical basis of the multinomial model, suggest a computational framework to evaluate the model's parameters and investigate the suitability of the model for the Italian market.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Jozsef Abaffy, Marida Bertocchi, Adriana Gnudi,