Autor:	Victoria Knopova, T. V. Pepelyaeva
Rok vydání:	2001
Předmět:	Vasicek model Stochastic differential equation Cox–Ingersoll–Ross model General Computer Science Differential equation Stochastic modelling Mathematics::Category Theory Mathematical finance Physics::Medical Physics Wick product Security market Mathematical economics Mathematics
Zdroj:	Cybernetics and Systems Analysis. 37:427-433
ISSN:	1060-0396
DOI:	10.1023/a:1011950029558
Popis:	Stochastic Cox-Ingersoll-Ross differential equations and Hull-White equations (Vasicek and Cox-Ingersoll-Ross extensions) are investigated. Two approaches to the solution of such equations are considered. The results of these investigations allow one to determine a short-term rate in a securities market.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::b1ec2d6c4ab387f33486a04b7adaa06d https://doi.org/10.1023/a:1011950029558 Zobrazit plný text záznamu Full text from SpringerLink