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A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models |
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| Authors: | Damiano Brigo Fabio Mercurio |
| Affiliation: | (1) Product and Business Development Group, Banca IMI, SanPaolo IMI Group, Corso Matteotti 6, 20121 Milano, Italy (e-mail: {brigo,fmercurio}@bancaimi.it) , IT |
| Abstract: | |
| Keywords: | : Short– rate models, Analytical tractability, Exponential Vasicek model, Cox-Ingersoll-Ross' model, Calibration to market data |
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