Chen Model

Chen Model

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Description

Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In finance, the Chen model is a mathematical model describing the evolution of interest rates. It is a type of "three-factor model" (short rate model) as it describes interest rate movements as driven by three sources of market risk. It was the first stochastic mean and stochastic volatility model and it was published in 1994 by the economist Lin Chen, a Harvard doctorate, former US Fed economist and professor of Yonsei University of Korea. In an authoritative review of modern finance (Continuous-Time Methods in Finance: A Review and an Assessment), Chen model is listed along with the models of Robert C. Merton, Oldrich Vasicek, John C. Cox, Stephen A. Ross, Darrell Duffie, John Hull, Robert A. Jarrow, and Emanuel Derman as a major term structure model.show more

Product details

  • Paperback | 56 pages
  • 152 x 229 x 3mm | 95g
  • Flu Press
  • United States
  • English
  • 6136683970
  • 9786136683973