Models of the Short Interest Rate in Discrete Processes

Naoyuki Ishimura, Bold Javkhlan, MasaAki Nakamura, Zheng Wei

College of Science and Technology, Nihon University, Kanda-Surugadai, Tokyo 101-8308, Japan.
Graduate School of Economics, Hitotsubashi University, Kunitachi,Tokyo 186-8601, Japan.

DOI: 10.4236/ojapps.2013.31B1003                

Abstract

The modeling of the term structure of interest rates is one of primary topics for researches in financial economics. Here we consider models of the short interest rate in discrete processes. Our methodology of analysis follows the framework of discrete stochastic calculus.

Keywords

Short Interest Rates; One-factor Model; Discrete Processes

Conflicts of Interest

The authors declare no conflicts of interest.

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