Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models

DOI10.1016/J.CAM.2015.02.031MaRDI QIDQ491007zbMATH OpenOpenAlexFDO

Authors L. Gómez-Valle, J. Martínez-Rodríguez

Publication date 24 August 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2015.02.031

zbMATH Keywords

nonparametric estimationinterest ratesnumerical differentiationjump-diffusion stochastic processesyield curves

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Applied stochastic control of jump diffusions.
• Exact solutions for bond and option prices with systematic jump risk
• Numerical solution of stochastic differential equations with jumps in finance
• On the functional estimation of jump-diffusion models.
• Stochastic calculus for finance. II: Continuous-time models.
• The jackknife and the bootstrap for general stationary observations
• Threshold estimation of Markov models with jumps and interest rate modeling

Cited in

(10)

• Editorial: Mathematical modeling and computational methods
• The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
• A numerical approach to obtain the yield curves with different risk-neutral drifts
• Modelling Specific Interest Rate Risk with Estimation of Missing Data
• On the nonparametric inference of coefficients of self-exciting jump-diffusion
• The role of the risk-neutral jump size distribution in single-factor interest rate models
• Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic volatility
• A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models
• The jump size distribution of the commodity spot price and its effect on futures and option prices
• Direct estimation of the risk neutral factor dynamics of Gaussian term structure models

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