Article ID Journal Published Year Pages File Type
981925 Procedia Economics and Finance 2013 6 Pages PDF
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.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics