A volatility-varying and jump-diffusion Merton type model of interest rate risk

DOI10.1016/J.INSMATHECO.2005.08.010MaRDI QIDQ2507948zbMATH OpenOpenAlexFDO

Authors Fernando Espinosa, Josep Vives

Publication date 5 October 2006

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.08.010

zbMATH Keywords

interest ratejump-diffusion modelsMerton modelLévy processes

Mathematics Subject Classification ID

Economic time series analysis (91B84) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• scientific article; zbMATH DE number 1302133 (Why is no real title available?)
• A Stroock formula for a certain class of Lévy processes and applications to finance
• Approximations of small jumps of Lévy processes with a view towards simulation
• On Lévy processes, Malliavin calculus and market models with jumps
• Option pricing when underlying stock returns are discontinuous
• The Bose-Einstein Condensation for Charged Particles in a Magnetic Field
• The pricing of options and corporate liabilities

Cited in

(7)

• Stochastic jump intensity models
• scientific article; zbMATH DE number 6174812 (Why is no real title available?)
• The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
• A model of discontinuous interest rate behavior, yield curves, and volatility
• Estimation of the instantaneous volatility
• A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
• Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps

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