- -

Modelling 1-month euribor interest rate by using differential equations with uncertainty

RiuNet: Institutional repository of the Polithecnic University of Valencia

Share/Send to

Cited by

Statistics

Modelling 1-month euribor interest rate by using differential equations with uncertainty

Show full item record

Cortés, J.; Romero, J.; Sánchez Sánchez, A.; Villanueva Micó, RJ. (2015). Modelling 1-month euribor interest rate by using differential equations with uncertainty. Applied Mathematical and Computational Sciences. 7(3):37-50. http://hdl.handle.net/10251/70015

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/70015

Files in this item

Item Metadata

Title: Modelling 1-month euribor interest rate by using differential equations with uncertainty
Author:
UPV Unit: Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Issued date:
Abstract:
[EN] This paper deals with modelling interest rate using continuous models with uncertainty based on Itô-type stochastic differential equations. It is provided an analysis of theoretical aspects that involves the so-called ...[+]
Subjects: Modelling interest rates , 1-month Euribor , Ito-type stochastic differential equation , Maximum likelihood method , Prediction.
Copyrigths: Reserva de todos los derechos
Source:
Applied Mathematical and Computational Sciences. (issn: 0976-1586 )
Publisher:
Mili Publications
Publisher version: http://www.mililink.com/issue_content.php?id=60&iId=291&vol=7&is=3&mon=November&yer=2015&pg=37-50
Thanks:
This work has been partially supported by the Ministerio de Economía y Competitividad grant MTM2013-41765-P.
Type: Artículo

This item appears in the following Collection(s)

Show full item record