In my talk I'm going to model the dynamics of short term interest rate using the fractional nonhomogeneous differential equation with stochastic free term.
This type of equation is similar to one which represents the viscoelastic behaviour of certain materials from rheologic point of view.
As a final result I obtain the closed formulas for prices of zero-coupon bonds.
They are analogous to those in Vasicek model, where instead of the exponential functions we have the Mittag-Leffler ones.

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