Summary: |
| Models of the shot interest rate dynamics with theta- differentials are considered in this paper. Stochastic differential equations with theta- differentials are in some sense generalization of the Ito equations, which are a special case when theta=0. The term structure equation is obtained and some concrete models are considered. |
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| Date: 1 June - Time: 8:30 to 10:30 - Room: 251 |
| Theme: 1.A. Stochastic dependence |
