Interest rate models and Whittaker functions
Mathematical Finance
2014-05-13 v1
Abstract
I present the technique which can analyse some interest rate models: Constantinides-Ingersoll, CIR-model, geometric CIR and Geometric Brownian Motion. All these models have the unified structure of Whittaker function. The main focus of this text is closed-form solutions of the zero-coupon bond value in these models. In text I emphasize the specific details of mathematical methods of their determination such as Laplace transform and hypergeometric functions.
Keywords
Cite
@article{arxiv.1405.2459,
title = {Interest rate models and Whittaker functions},
author = {Dmitry Muravey},
journal= {arXiv preprint arXiv:1405.2459},
year = {2014}
}
Comments
19 pages, 2 figures