0
$\begingroup$

what is a reason that someone might be interested in a stochastic-interest model such as the Chen model?
Also can you provide me with a link to an easy to read motivational paper/part of a paper on the subject?

Thanks

$\endgroup$
2
  • $\begingroup$ We do not yet know the Chen model. It would help if you can provide more details. $\endgroup$
    – Gordon
    Dec 8, 2015 at 14:28
  • $\begingroup$ en.wikipedia.org/wiki/Chen_model $\endgroup$
    – ABIM
    Dec 8, 2015 at 15:18

1 Answer 1

1
$\begingroup$

Chan, Karolyi, Longstaff, and Sanders (1992) compares empirically the performance of the main interest rates model.

The first page also provides the main references on those models.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.