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A Remark on Spot Rate Models Induced by an Equilibrium Model
http://hdl.handle.net/2261/1238
http://hdl.handle.net/2261/12388896f1d5-6dc2-44ec-91eb-7c944978439c
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
jms060302.pdf (164.0 kB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2008-03-04 | |||||
| タイトル | ||||||
| タイトル | A Remark on Spot Rate Models Induced by an Equilibrium Model | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_6501 | |||||
| タイプ | departmental bulletin paper | |||||
| 著者 |
Nakagawa, Hidetoshi
× Nakagawa, Hidetoshi |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Cox-Ingersoll-Ross presented so-called CIR spot rate model, which is explained by their equilibrium model. We set an economy model with a slight modification of their model in terms of semimartingale and show the existence of equilibrium in our model. Furthermore, we discuss interest rate under equilibrium and show the general form of spot rate dynamics induced from our equilibrium model. | |||||
| 書誌情報 |
Journal of mathematical sciences, the University of Tokyo 巻 6, 号 3, p. 453-475, 発行日 1999 |
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| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 13405705 | |||||
| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11021653 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 415 | |||||
| Mathematical Reviews Number | ||||||
| MR1726679 | ||||||
| Mathmatical Subject Classification | ||||||
| 60G46(MSC1991) | ||||||
| Mathmatical Subject Classification | ||||||
| 60G60(MSC1991) | ||||||
| Mathmatical Subject Classification | ||||||
| 90A14(MSC1991) | ||||||
| 出版者 | ||||||
| 出版者 | Graduate School of Mathematical Sciences, The University of Tokyo | |||||
| 原稿受領日 | ||||||
| 1998-10-22 | ||||||
