Acta mathematica scientia,Series A ›› 2009, Vol. 29 ›› Issue (1): 1-9.

• Articles •     Next Articles

Approximating Nonlinear Models of Interest Rates with Branching Processes

Li Yuqiang   

  1. (School of Finance and Statistics, East China Normal University, Shanghai 200241)
  • Received:2006-04-18 Revised:2008-03-07 Online:2009-02-25 Published:2009-02-25
  • Contact: Li Yuqiang

Abstract:

This paper proves a limit theorem of sequences of the state-dependent branching processes, which shows the nonlinear models of the term structure of interest rates can be approximated by the state-dependent branching
processes.

Key words: State-dependent branching processes, Nonlinear models of interest rates, Limit theorems, Weak convergence

CLC Number: 

  • 60J80
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