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

bond marketCIR modelGaussian processesnonsemimartingalesshort ratesvolatility

Mathematics Subject Classification ID

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

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Cited in

(6)

• On stochastic integration for volatility modulated Lévy-driven Volterra processes
• 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
• Research frontiers in ambit stochastics: in memory of Ole E. Barndorff-Nielsen
• Complex discontinuities of the square root of Fredholm determinants in the Volterra Stein-Stein stochastic volatility model

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