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Title: Three models of the term structure of interest rates
Author: Rhee, Joonhee
Awarding Body: University of Warwick
Current Institution: University of Warwick
Date of Award: 1998
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In this dissertation, we consider the stochastic volatility of short rates, the jump property of short rates, and market expectation of changes in interest rates as the crucial factors in explaining the term structure of interest rates. In each chapter, we model the term structure of interest rates in accordance with these factors.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: HB Economic Theory