On Short-Term Loan Interest Rate Models: A First Passage Time Approach
In this paper, we consider a stochastic diffusion process able to model the interest rate evolving with respect to time and propose a first passage time (FPT) approach through a boundary, defined as the “alert threshold”, in order to evaluate the risk of a proposed loan. Above th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-05-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-7390/6/5/70 |