Authors
Citation
D. Epstein et P. Wilmott, A nonlinear non-probabilistic spot interest rate model, PHI T ROY A, 357(1758), 1999, pp. 2109-2117
Citations number
10
Categorie Soggetti
Multidisciplinary
Journal title
PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY OF LONDON SERIES A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES
ISSN journal
1364503X
→ ACNP
Volume
357
Issue
1758
Year of publication
1999
Pages
2109 - 2117
Database
ISI
SICI code
1364-503X(19990815)357:1758<2109:ANNSIR>2.0.ZU;2-7
Abstract
We show how to use 'uncertainty' in place of the more traditional Brownian
'randomness' to model a short-term interest rate. The advantage of this mod
el is principally that it is difficult to show statistically that it is wro
ng. We discuss the pros and cons of the model and show how to price and hed
ge various contracts.