Details of Research Outputs

In this chapter, we model interest rates as functional transformations of a basic Markov state variable, which couples the Ornstein–Uhlenbeck process and the Bessel process. This simple approach unifies many previously proposed diffusion models of interest rates such as the Vasicek, Black–Derman–Toy, Black–Karasinski, Cox–Ingersoll-Ross, Hull–White, Marsh–Rosenfeld, Constantinides–Ingersoll, Pearson–Sun, Duffie–Kan models, and provides an easy scheme for establishing other interest rate models.