Open AccessSelf Exciting Threshold Interest Rates Models
Author(s) -
Marc Decamps,
Marc Goovaerts,
Wim Schoutens
Publication year - 2005
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.642961
Subject(s) - interest rate , economics , monetary economics
In this paper, we study a new class of tractable diffusions suitable for model’s primitives of interest rates. We consider scalar diffusions with scale s(x) and speed m(x) densities discontinuous at the level xK.U.Leuven, FETEW, Naamsestraat 69, B-3000 Leuven, e-mail:
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