An Interest Rate Model with Upper and Lower Bounds

By Freddy Delbaen, H. Shirakawa. 2002

81 citations recorded by the source corpus.

Subfields: Finance, Management Information Systems, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/be4a3486a9061656bba646c2ad64388ccdd896dc

Citations in the corpus

• Modelling the Stochastic Correlation (2016, unknown): “We have the result from [4] that if β(2) 2α ≤ γ ≤ 1− β 2 2α , (4.”