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Approximating nonlinear models of interest rates with branching processes. (Chinese. English summary) Zbl 1195.91169

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

MSC:

91G30 Interest rates, asset pricing, etc. (stochastic models)
60J80 Branching processes (Galton-Watson, birth-and-death, etc.)
60F05 Central limit and other weak theorems
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