Zhaoyun Shi, Yusho Kagraoka, Yoshiyasu Tamura, Tohru Ozaki. A short-term interest rate model with nonlinear mean reversion. In Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering, CIFEr 2000, New York City, USA, March 28, 2000. pages 74-77, IEEE, 2000. [doi]
Abstract is missing.