A Remark on Spot Rate Models Induced by an Equilibrium Model

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J. Math. Sci. Univ. Tokyo
Vol. 6 (1999), No. 3, Page 453--475.

Nakagawa, Hidetoshi
A Remark on Spot Rate Models Induced by an Equilibrium Model
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Abstract:
Cox-Ingersoll-Ross presented so-called CIR spot rate model, which is explained by their equilibrium model. We set an economy model with a slight modification of their model in terms of semimartingale and show the existence of equilibrium in our model. Furthermore, we discuss interest rate under equilibrium and show the general form of spot rate dynamics induced from our equilibrium model.

Mathematics Subject Classification (1991): 60G46, 60G60, 90A14

Mathematical Reviews Number: MR1726679

Received: 1998-10-22

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