References
- [1] BRIGO, D.-MERCURIO, F.: Interest Rate Models-Theory and Practice (2nd ed.), Springer-Verlag, Berlin, 2006.
- [2] CHAN, K. C.-KAROLYI,G. A.-LONGSTAFF, F. A.-SANDERS, A. B.: An empirical comparison of alternative models of the short-term interest rate, J. Finance 47 (1992), 1209-1227.10.1111/j.1540-6261.1992.tb04011.x
- [3] EPISCOPOS, A.: Further evidence on alternative continuous time models of the short- -term interest rate, J. Internat. Financ. Markets, Institut. Money 10 (2000), 199-212.10.1016/S1042-4431(99)00032-3
- [4] KWOK, Y. K.: Mathematical Models of Financial Derivatives (2nd ed.), Springer-Verlag, Berlin, 2008.
- [5]ŠEVČOVIČ, D.-URBÁNOVÁ CSAJKOVÁ, A.: Calibration of one factor interest rate models, J. Electr. Eng. 55/s (2004), 46-50.
- [6] ŠEVČOVIČ, D.-URBÁNOVÁ CSAJKOVÁ, A.: On a two-phase minmax method for parameter estimation of the Cox, Ingersoll, and Ross interest rate model, Cent. Eur. J. Oper. Res. 13(2) (2005), 169-188
- [7] VASICEK, O. A.: An equilibrium characterization of the term structure, J. Financ. Econom. 5 (1977), 177-188.10.1016/0304-405X(77)90016-2
- [8] ZÍKOVÁ, Z.-STEHLÍKOVÁ, B.: Convergence model of interest rates of CKLS type, Kybernetika 48 (2012), 567-586