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

DOI10.1016/J.INSMATHECO.2005.08.010zbMATH Open1112.91033OpenAlexW2024268888MaRDI QIDQ2507948FDOQ2507948

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

Recommendations

• The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
• A model of discontinuous interest rate behavior, yield curves, and volatility
• Stochastic jump intensity models
• Financial Modelling with Jump Processes
• The stochastic stability of interest rates with jump changes

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)

Cites Work

• The pricing of options and corporate liabilities
• Approximations of small jumps of Lévy processes with a view towards simulation
• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous
• On Lévy processes, Malliavin calculus and market models with jumps
• Title not available (Why is that?)
• A Stroock formula for a certain class of Lévy processes and applications to finance
• Title not available (Why is that?)
• The Bose-Einstein Condensation for Charged Particles in a Magnetic Field

Cited In (7)

• 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
• Stochastic jump intensity models
• Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps
• The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
• Estimation of the instantaneous volatility
• A model of discontinuous interest rate behavior, yield curves, and volatility
• Title not available (Why is that?)

This page was built for publication: A volatility-varying and jump-diffusion Merton type model of interest rate risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2507948)