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
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
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.