Generalized interest rate dynamics and its impacts on finance and pensions. Issue 1 (2nd January 2017)

• Record Type: Journal Article
• Authors: Stehlík, Milan; Kiseľák, Jozef; Potocký, Rastislav; Jordanova, Pavlina
• Is Part Of: Stochastic analysis and applications. Volume 35:Issue 1(2017)
• Page Start: 178
• Page End: 190
• Publication Date: 2017-01-02
• Subjects: Stochastic interest rate -- second-order dynamics -- Wiener process -- pension system -- moments; 34F05 -- 91B70; Stochastic analysis -- Periodicals; 519.2205
• DOI: 10.1080/07362994.2016.1224975
• Languages: English
• ISSNs: 0736-2994

Abstract

ABSTRACT: The recent global financial crisis caused implementation of negative or close to zero interest rates. This situation implies a necessity to study a flexible and simplistic model of interest rate, which well accommodates oscillations, cycles, and negative signs. In this article, we introduce a novel nonlinear stochastic interest rate model, which, as a special case, incorporates the standard linear model of Parker. Many practical implications for finance and pensions are obtained.