Real-World Versus Risk-Neutral Measures in the Estimation of an Interest Rate Model with Stochastic Volatility

DOI10.1007/978-3-319-89824-7_71zbMath1397.62534OpenAlexW2883903261MaRDI QIDQ4689054

J. Martínez-Rodríguez, L. Gómez-Valle

Publication date: 12 October 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: http://uvadoc.uva.es/handle/10324/32344

zbMATH Keywords

stochastic processesstochastic volatilitynumerical differentiationinterest ratesnonparametric estimationjump-diffusion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Exact solutions for bond and option prices with systematic jump risk
• Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
• The role of the risk-neutral jump size distribution in single-factor interest rate models
• A Theory of the Term Structure of Interest Rates
• Lévy Processes and Stochastic Calculus
• Financial Modelling with Jump Processes
• An equilibrium characterization of the term structure