{"title":"短期利率模型","authors":"T. Björk","doi":"10.1093/OSO/9780198851615.003.0020","DOIUrl":null,"url":null,"abstract":"The simplest Markovian short rate model is analyzed using classical and martingale methods, and the term structure equation for the determination of zero coupon bond prices is derived.","PeriodicalId":311283,"journal":{"name":"Arbitrage Theory in Continuous Time","volume":"51 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1998-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Short Rate Models\",\"authors\":\"T. Björk\",\"doi\":\"10.1093/OSO/9780198851615.003.0020\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The simplest Markovian short rate model is analyzed using classical and martingale methods, and the term structure equation for the determination of zero coupon bond prices is derived.\",\"PeriodicalId\":311283,\"journal\":{\"name\":\"Arbitrage Theory in Continuous Time\",\"volume\":\"51 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"1998-09-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Arbitrage Theory in Continuous Time\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1093/OSO/9780198851615.003.0020\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Arbitrage Theory in Continuous Time","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1093/OSO/9780198851615.003.0020","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The simplest Markovian short rate model is analyzed using classical and martingale methods, and the term structure equation for the determination of zero coupon bond prices is derived.
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