Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
981925 | Procedia Economics and Finance | 2013 | 6 Pages |
Abstract
The modeling of the term structure of interest rates is one of important topics for researches in financial economics. Here we consider a model of the instantaneous interest rate in discrete processes, which may be regarded as a discrete version of the usual continuous process models. We compute the price of the zero-coupon bond. Our methodology of analysis is based on the framework of discrete stochastic calculus.
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