scholarly journals Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes

1989 ◽  
Vol 19 (S1) ◽  
pp. 43-50 ◽  
Author(s):  
Jan Dhaene
Keyword(s):  
Interest Rates ◽  
Moving Average ◽  
Practical Method ◽  
Average Process ◽  
Moving Average Process ◽  
Stochastic Interest Rates ◽  
Autoregressive Integrated Moving Average ◽  
Stochastic Interest ◽  
Moving Average Processes

AbstractA practical method is developed for computing moments of insurance functions when interest rates are assumed to follow an autoregressive integrated moving average process.

scholarly journals Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes

1989 ◽  
Vol 19 (2) ◽  
pp. 131-138 ◽  
Author(s):  
Jan Dhaene
Keyword(s):  
Interest Rates ◽  
Moving Average ◽  
Practical Method ◽  
Average Process ◽  
Moving Average Process ◽  
Stochastic Interest Rates ◽  
Autoregressive Integrated Moving Average ◽  
Stochastic Interest ◽  
Moving Average Processes

AbstractA practical method is developed for computing moments of insurance functions when interest rates are assumed to follow an autoregressive integrated moving average process.

A Hybrid Model for Equity Indices and Stochastic Interest Rates

2012 ◽  
Author(s):  
Jan F. Baldeaux ◽  
Man Chung Fung ◽  
Katja Ignatieva ◽  
Eckhard Platen
Keyword(s):  
Interest Rates ◽  
Hybrid Model ◽  
Stochastic Interest Rates ◽  
Stochastic Interest ◽  
Equity Indices
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