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Abstract: Let M(t); t 0 be an arbitrary one-dimensional symmetric stable process. As a model for the term structure of interest rate processes we consider r(t) = G(t; M T (t)) or as special case r(t) = F f(t) + g(t)M T (t) for some functions G; F; T ; f and g. We show that this model includes in particular some models which can be described by the Ito stochastic di erential equations driven by the stable process M . It generalizes also the known Schmidt's model which is the special... (Update)
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BibTeX entry: (Update)
@misc{ kurenok-model,
author = "W.P. Kurenok",
title = "On A Model For The Term Structure Of Interest Rate Processes Of Stable
Type",
url = "citeseer.ist.psu.edu/407704.html" }
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