A pure-jump mean-reverting short rate model (Q2209739)
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scientific article; zbMATH DE number 7270212
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A pure-jump mean-reverting short rate model |
scientific article; zbMATH DE number 7270212 |
Statements
A pure-jump mean-reverting short rate model (English)
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4 November 2020
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short rate
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forward rate
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zero-coupon bond
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option pricing
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market-consistent calibration
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post-crisis model
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Lévy process
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multi-factor model
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Ornstein-Uhlenbeck process
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stochastic differential equation
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0.7940033674240112
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0.7940033078193665
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0.7922670245170593
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0.7848609089851379
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0.7792136073112488
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