Jump-diffusion Cox-Ingersoll-Ross model

DOI10.12084/J.ISSN.2096-3289.2018.01.007MaRDI QIDQ4688930zbMATH OpenFDO

Authors Jie Sheng, Litan Yan

Publication date 22 October 2018

Full work available at URL https://doi.org/10.12084/J.ISSN.2096-3289.2018.01.007

zbMATH Keywords

Bayesian estimationCox-Ingersoll-Ross modelinterest ratejump-diffusion stochastic processLaplace inversion

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(4)

• Inhomogeneous exponential jump model
• Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1
• On the stationary property of a reflected Cox-Ingersoll-Ross interest rate model driven by a Lévy process
• Jump factor models in large cross‐sections

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