Pelsser model
| Author : Furgeri Michele |
| Description : This plug-in implements the one-factor squared Gaussian model proposed by Pelsser. It can be used to model the stochastic evololution of the instantaneous interest rates and it provides the advantage that the interest rates never become negative. The squared Gaussian is a no-arbitrage model, so it can be fitted to the initial term-structure of interest rates. |
| Tags : short rate , interest rates |
| Downloads : 24 |
|
|
