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Interest rate models and Whittaker functions

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 نشر من قبل Dmitry Muravey
 تاريخ النشر 2014
  مجال البحث مالية
والبحث باللغة English
 تأليف Dmitry Muravey




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I present the technique which can analyse some interest rate models: Constantinides-Ingersoll, CIR-model, geometric CIR and Geometric Brownian Motion. All these models have the unified structure of Whittaker function. The main focus of this text is closed-form solutions of the zero-coupon bond value in these models. In text I emphasize the specific details of mathematical methods of their determination such as Laplace transform and hypergeometric functions.



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