An interest-rate model with jumps for uncertain financial markets

DOI10.1016/J.PHYSA.2019.121424OpenAlexW2944144369MaRDI QIDQ2161801

Suisheng Yu, Yufu Ning

Publication date: 5 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.121424

zbMATH Keywords

uncertainty theoryzero-coupon bonduncertain financeuncertain differential equation with jumps

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (5)

Option pricing formulas for uncertain exponential Ornstein-Uhlenbeck model with dividends ⋮ Optimal harvesting strategy based on uncertain logistic population model ⋮ Reliability analysis of the uncertain fractional‐order dynamic system with state constraint ⋮ Uncertain KOL selection with advertising videos circulation and KOL selection diversification in advertising promotion ⋮ Interest-rate products pricing problems with uncertain jump processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Uncertain differential equation with jumps
• Triangular entropy of uncertain variables with application to portfolio selection
• A formula to calculate the variance of uncertain variable
• Option pricing for an uncertain stock model with jumps
• A no-arbitrage theorem for uncertain stock model
• Valuation of interest rate ceiling and floor in uncertain financial market
• Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
• Uncertain calculus with renewal process
• Entropy of function of uncertain variables
• Uncertain term structure model of interest rate
• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
• Analytical valuation for geometric Asian options in illiquid markets
• Bayesian statistical inference for European options with stock liquidity
• UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL
• UNCERTAIN DECISION MAKING AND ITS APPLICATION TO PORTFOLIO SELECTION PROBLEM
• Uncertain fractional differential equations and an interest rate model
• An Intertemporal General Equilibrium Model of Asset Prices
• A STOCK MODEL WITH JUMPS FOR UNCERTAIN MARKETS
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Uncertainty theory
• Impact of cost uncertainty on supply chain competition under different confidence levels

This page was built for publication: An interest-rate model with jumps for uncertain financial markets