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Soft Computing

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01.03.2015 | Methodologies and Application

An interest rate model in uncertain environment

verfasst von: Dengya Jiao, Kai Yao

Erschienen in: Soft Computing | Ausgabe 3/2015

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Abstract

Interest rate is an important economic indicator which plays a crucial role in the financial market. Based on the interest rate, the price of the zero-coupon bond is another important indicator to measure the economic level. Therefore, the study on the price of the zero-coupon bonds with different maturity dates is a fundamental issue in economics. This paper regards the interest rate as an uncertain process and prices the zero-coupon bond through the uncertain interest model. In addition, this paper proposes a general interest rate model in uncertain environment and employs a numerical method to price the zero-coupon bond.

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Titel: An interest rate model in uncertain environment
verfasst von: Dengya Jiao
Kai Yao
Publikationsdatum: 01.03.2015
Verlag: Springer Berlin Heidelberg
Erschienen in: Soft Computing / Ausgabe 3/2015
Print ISSN: 1432-7643
Elektronische ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-014-1301-1

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