• Title of article

    Stable distributions and the term structure of interest rates

  • Author/Authors

    Dostoglou، نويسنده , , S.A. and Rachev، نويسنده , , S.T.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 1999
  • Pages
    4
  • From page
    57
  • To page
    60
  • Abstract
    In an abundance of cases asset returns fit stable distributions better than normal distributions. We examine a model where the term structure of interest rates follows a subordinate process directed by a stable process and indicate how to fix the parameters of the model.
  • Keywords
    Term structure , Martingale measures , Stable parameters , Semimartingales , stable distributions
  • Journal title
    Mathematical and Computer Modelling
  • Serial Year
    1999
  • Journal title
    Mathematical and Computer Modelling
  • Record number

    1591343

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1591343