The Impact of Sticky Short Rate on Long Bonds

Abstract

We investigate the impact of sticky short rate on the level and volatility of long term interest rates in the context of a no-arbitrage term structure model. The stickiness is modeled through a boundary condition where as... [ view full abstract ]

Authors

  1. Qi Wu (The Chinese University of Hong Kong)

Topic Areas

Partial Differential Equations , Term-Structure Models

Session

PS » Poster Presentations (11:00 - Monday, 16th July)

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