scholarly journals On Non-Existence of a One Factor Interest Rate Model for Volatility Averaged Generalized Fong-Vasicek Term Structures

2006 ◽  
Author(s):  
Beata Stehlikova ◽  
Daniel Sevcovic
Keyword(s):  
Interest Rate ◽  
Rate Model ◽  
Term Structures ◽  
Interest Rate Model

scholarly journals DC Pension Plan with Refund of Contributions under Affine Interest Rate Model

2020 ◽  
pp. 1-16
Author(s):  
Udeme O. Ini ◽  
Obinichi C. Mandah ◽  
Edikan E. Akpanibah
Keyword(s):  
Interest Rate ◽  
Optimal Investment ◽  
Hjb Equation ◽  
Pension Scheme ◽  
Theoretic Approach ◽  
Rate Model ◽  
Risky Assets ◽  
Investment Plan ◽  
Interest Rate Model ◽  
The Impact

This paper studies the optimal investment plan for a pension scheme with refund of contributions, stochastic salary and affine interest rate model. A modified model which allows for refund of contributions to death members’ families is considered. In this model, the fund managers invest in a risk free (treasury) and two risky assets (stock and zero coupon bond) such that the price of the risky assets are modelled by geometric Brownian motions and the risk free interest rate is of affine structure. Using the game theoretic approach, an extended Hamilton Jacobi Bellman (HJB) equation which is a system of non linear PDE is established. Furthermore, the extended HJB equation is then solved by change of variable and variable separation technique to obtain explicit solutions of the optimal investment plan for the three assets using mean variance utility function. Finally, theoretical analyses of the impact of some sensitive parameters on the optimal investment plan are presented.

scholarly journals Nonparametric estimation and specification testing of a two-factor interest rate model

2021 ◽  
Author(s):  
Brennan Scott Thompson
Keyword(s):  
Interest Rate ◽  
Nonparametric Estimation ◽  
Rate Model ◽  
Specification Testing ◽  
Interest Rate Model

Nonparametric estimation and specification testing of a two-factor interest rate model

Implementation of The Longstaff-Schwartz Interest Rate Model

1993 ◽  
Vol 3 (2) ◽  
pp. 7-14 ◽  
Author(s):  
Francis A. Longstaff ◽  
Eduardo S. Schwartz
Keyword(s):  
Interest Rate ◽  
Rate Model ◽  
Interest Rate Model

Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

2010 ◽  
Vol 51 (2) ◽  
pp. 405-425 ◽  
Author(s):  
Lukasz Szpruch ◽  
Xuerong Mao ◽  
Desmond J. Higham ◽  
Jiazhu Pan
Keyword(s):  
Numerical Simulation ◽  
Interest Rate ◽  
Rate Model ◽  
Strongly Nonlinear ◽  
Interest Rate Model
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