A Remark on Spot Rate Models Induced by an Equilibrium Model

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概要

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• 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.

• 東京大学の論文

著者

• Nakagawa Hidetoshi

  Department Of Physics Faculty Of Science Hiroshima University

• Nakagawa Hidetoshi

  Department Of Mathematical Sciences University Of Tokyo

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