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A TERM STRUCTURE INTEREST RATE MODEL WITH THE BROWNIAN BRIDGE LOWER BOUND

A TERM STRUCTURE INTEREST RATE MODEL WITH THE BROWNIAN BRIDGE LOWER BOUND
Digital文書・図像類
Kikuchi, KentaroThe Institute for Economic and Business Research Faculty of Economics, Shiga University2023-04Discussion Paper, Series ENo. E-22p.1-21
Other Libraries in Japan
  • Subject HeadingNo-arbitrage condition Quadratic Gaussian term structure model Brownian bridge Negative inte...

A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy

A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy
Digital文書・図像類
菊池, 健太郎Center for Risk Research (CRR), Shiga University2020-03CRR Discussion Paper, Series BNo. B-17p.1-15
Other Libraries in Japan
  • Subject Heading...age condition」「Quadratic Gaussian term structure model」「Brownian bridge」「 Negative i...

Quadratic Gaussian Joint Pricing Model for Stocks and Bonds : Theory and Empirical Analysis

Quadratic Gaussian Joint Pricing Model for Stocks and Bonds : Theory and Empirical Analysis
Digital文書・図像類
Kikuchi, KentaroCenter for Risk Research (CRR), Shiga University2015-01CRR Discussion Paper, Series BNo. B-14p.1-22
Other Libraries in Japan
  • Subject Headingrisk premium quadratic Gaussian term structure model unscented Kalman filter algeb...
  • Note (General)...stent with the quadratic Gaussian term structure model, in whichthe short rate is th...

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