Abstract
The aim of this chapter is to introduce the reader to the basic continuous time models designed to determine the term structure of interest rates. We make use of the standard framework in which the whole term structure of interest rates can be modeled starting from the knowledge of the short term interest rate dynamics, and focus essentially on the case in which the instantaneous interest rate is the solution of a stochastic differential system with stochastic volatility, as for instance in system (1.1) of chapter 1.
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© 2000 Springer Science+Business Media New York
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Fornari, F., Mele, A. (2000). Models of the Term Structure with Stochastic Volatility. In: Stochastic Volatility in Financial Markets. Dynamic Modeling and Econometrics in Economics and Finance, vol 3. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-4533-0_4
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DOI: https://doi.org/10.1007/978-1-4615-4533-0_4
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4613-7045-1
Online ISBN: 978-1-4615-4533-0
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