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Erschienen in:
2001 | OriginalPaper | Buchkapitel
Two-Factor Short-Rate Models
verfasst von : Damiano Brigo, Fabio Mercurio
Erschienen in: Interest Rate Models Theory and Practice
Verlag: Springer Berlin Heidelberg
Enthalten in: Professional Book Archive
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However, motivation never harmed anyone (least of all, pure mathematicians), [
L.C.G. Rogers and D. Williams, in Chapter III.4 of “Diffusions, Markov Processes and Martingales”, Vol. 1, 1994, Wiley and Sons
In the present chapter we introduce two major two-factor short-rate models. Before starting with the actual models, we would like to motivate two-factor models by pointing out the weaknesses of the one-factor models of the previous chapter. This is the purpose of this introductory section.