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~institution:"Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska"
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Langevin equation
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Short term interest rate
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Simulation
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Vasicek model
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Gajda, Janusz
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Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften
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Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro
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School of Economics and Management, University of Aarhus
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Modeling of
short
term
interest
rate
based on tempered fractional Langevin equation
Gajda, Janusz
-
Hugo Steinhaus Center for Stochastic Methods, …
-
2012
how to use such models in modeling
short
term
interest
rate
. We develop tempered Vasicek interest rate model by finding …
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