Currently displaying 1 – 4 of 4

Showing per page

Order by Relevance | Title | Year of publication

Convergence model of interest rates of CKLS type

Zuzana ZíkováBeáta Stehlíková — 2012


This paper deals with convergence model of interest rates, which explains the evolution of interest rate in connection with the adoption of Euro currency. Its dynamics is described by two stochastic differential equations – the domestic and the European short rate. Bond prices are then solutions to partial differential equations. For the special case with constant volatilities closed form solutions for bond prices are known. Substituting its constant volatilities by instantaneous volatilities we...

On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility

Beáta StehlíkováDaniel Ševčovič — 2009


In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox–Ingersoll–Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of the bond price with respect to a singular parameter representing the fast scale for the stochastic volatility process. We derive the second order asymptotic expansion of a solution...

Page 1

Download Results (CSV)