## Numerical Simulation of the Term Structure of Interest Rates Using a Random Field |

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bond prices bonds of different boundary condition problems business cycle C.A. Tisdell coefficient covariance function cyclical effects recorded dampen the incidence different maturities differential equations DISCUSSION PAPERS drift and volatility drift term Euler method F t,T field X t,T finite difference procedures finite factor models forward rate Gaussian random field incidence of cyclical interest rate term Karunaratne Kennedy 27 Lee model Markov property Markov switching method of lines modeling the evolution models of interest noise serves numerical technique one-factor model panel data PAPERS IN ECONOMICS parameters price dynamics Radon-Nikodym theorem random field model rate term structure recalibration regional and urban risk-neutral drift Rod Jensen School of Economics serves to dampen simulated likelihood simulating SDEs simulation results SPDEs spot rate stochastic structure of interest system of ODEs term struc term structure models type of model University of Queensland value problem vector process volatility increases Wiener process yield curve models zero-coupon bond