ON NON-EXISTENCE OF A ONE FACTOR INTEREST RATE MODEL FOR VOLATILITY AVERAGED GENERALIZED FONG-VASICEK TERM STRUCTURES

• Material Type: 文書・図像類
• Title: ON NON-EXISTENCE OF A ONE FACTOR INTEREST RATE MODEL FOR VOLATILITY AVERAGED GENERALIZED FONG-VASICEK TERM STRUCTURES
• Author/Editor: Stehlíková, Beáta; Sevcovic, Daniel
• Author Heading: Stehlíková, Beáta; Sevcovic, Daniel
• Publication, Distribution, etc.: 九州大学マス・フォア・インダストリ研究所
• Publication Date: 2009-02-16
• Publication Date (W3CDTF): 2009-02-16
• Periodical title: COE Lecture Note
• No. or year of volume/issue: 14
• Volume: 14
• Pages: 40-48
• ISSN (Periodical Title): PISSN : 1881-4042
• Text Language Code: eng
• Subject Heading: stochastic volatility; stochastic differential equation; two-factor term structure models; generalized Fong–Vasicek interest rate model; averaging; limiting density
• Target Audience: 一般
• Note (General): Proceedings of the Czech-Japanese Seminar in Applied Mathematics 2008; Takachiho University of Miyazaki, Miyazaki, Japan, September 1-7, 2008; AMS subject classifications. 35C20 35B25 62P05 60H10 35K05
• Format (IMT): application/pdf
• Source: 14_p040.pdf; https://catalog.lib.kyushu-u.ac.jp/opac_download_md/1462201/14_p040.pdf
• Access Restrictions: インターネット公開
• Related Material (URI): URI; https://www.math.kyushu-u.ac.jp/; http://www.imi.kyushu-u.ac.jp/
• Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• Original Data Provider (Database): 九州大学 : 九州大学学術情報リポジトリ

Table of Contents

1.Overview of term structure modeling 2.Averaging with respect to stochastic volatility and relation to one-factor models