A short rate model using ambit processes

DOI10.1007/978-1-4614-5906-4_24MaRDI QIDQ2841800zbMATH OpenOpenAlexFDO

Authors José Manuel Corcuera, Gergely Farkas, Wim Schoutens, Esko Valkeila

Publication date 30 July 2013

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4614-5906-4_24

zbMATH Keywords

Gaussian processesvolatilityCIR modelbond marketnonsemimartingalesshort rates

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(4)

• Ambit processes, their volatility determination and their applications
• On the Ayed-Kuo stochastic integration for anticipating integrands
• The Laplace transform of the integrated Volterra Wishart process
• On stochastic integration for volatility modulated Lévy-driven Volterra processes

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