Sunday, December 20, 2009

Interest Rate Derivatives In India Cv Of Lin Chen, Who Developed "chen Model", A Three Factor Model Of The Term Structure Of Interest Rates

Cv of lin chen, who developed "chen model", a three factor model of the term structure of interest rates - interest rate derivatives in india

Chen Style

The model
The first model of stochastic volatility and stochastic average by Chen Lin in 1996 described. The remaining model and its various versions on the market today popular. The model is a model for the short-term interest rates. In general, it has a dynamic


Lin Chen (1996). The dynamics of interest rates, the prices for derivatives and risk management. Springer.
Lin Chen (1996). Stochastic volatility and stochastic medium - A three-factor model of the concept of interest rates and its application to products of interest rate. Blackwell Publishers.
Jessica James and Nick Webber (2000). Interest Rate Modeling. Wiely Finance.
Rajna Gibson, Francois-Serge Lhabitant and Denis Talay (2001). Modeling the term structure of interest rates: A literature review. RiskLab, ETH.


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