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.
雑誌名
Journal of mathematical sciences, the University of Tokyo
巻
6
号
3
ページ
453 - 475
発行年
1999
ISSN
13405705
書誌レコードID
AA11021653
フォーマット
application/pdf
日本十進分類法
415
Mathematical Reviews Number
MR1726679
Mathmatical Subject Classification
60G46(MSC1991)
60G60(MSC1991)
90A14(MSC1991)
出版者
Graduate School of Mathematical Sciences, The University of Tokyo
A Remark on Spot Rate Models Induced by an Equilibrium Model
jms060302.pdf
(164.02KB)
