@inbook{7a7891b9ea3a46adb3607c954319a1b7,
title = "Modelling Interest Rate Dynamics",
abstract = "In this chapter, we establish the fundamental relationships between interest rates, bond prices and forward rates. We further discuss the modelling of interest rates and analyse typical models for the spot interest rate and the forward rates. As we desire interest rates to be non-negative, we seek stochastic processes with this feature such as the Feller process. Thus we present the motivation of the Feller process and its relevance to the interest rate modelling. We also summarise the main results of Fubini{\textquoteright}s theorem, that are very useful for modelling forward rates.",
keywords = "Bond Price, Forward Rate, Interest Rate, Spot Rate, Stochastic Differential Equation",
author = "Carl Chiarella and He, {Xue Zhong} and Nikitopoulos, {Christina Sklibosios}",
note = "Publisher Copyright: {\textcopyright} 2015, Springer-Verlag Berlin Heidelberg.",
year = "2015",
doi = "10.1007/978-3-662-45906-5_22",
language = "English",
series = "Dynamic Modeling and Econometrics in Economics and Finance",
publisher = "Springer Science and Business Media Deutschland GmbH",
pages = "439--467",
booktitle = "Dynamic Modeling and Econometrics in Economics and Finance",
}