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?


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

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.

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