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| Author: | Gorovoi, V. Linetsky, V. |
| Title: | Shadow interest |
| Journal: | Risk
2003 : DEC, VOL. 16:12, p. 81-84 |
| Index terms: | bond markets bonds interest rates pricing |
| Language: | eng |
| Abstract: | This article provides an analytical solution for the pricing of zero-coupon bonds by using a Vasicek process for the shadow rate. The authors apply their model to the Japanese bond market. According to the authors, this article is meant to encourage further research in the relationship between shadow interest rates, real rates and inflation. |
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