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April  2006, 2(2): 119-134. doi: 10.3934/jimo.2006.2.119

Remarks on some short rate term structure models

Jiongmin Yong 1,

1. 

Department of Mathematics, University of Central Florida, Orlando, FL 32816

Received  February 2005 Revised  January 2006 Published  April 2006

Some widely used short interest rate term structure models are discussed. By establishing certain estimates on the solutions of stochastic differential inequalities, we found that the interest rate processes obtained from these models do not have enough integrability which leads to some defects in several applications.
Keywords: Term structure interest rate models, stochastic differential inequalities..
Mathematics Subject Classification: 60H10, 91B2.
Citation: Jiongmin Yong. Remarks on some short rate term structure models. Journal of Industrial & Management Optimization, 2006, 2 (2) : 119-134. doi: 10.3934/jimo.2006.2.119
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