A Short Rate Model Using Ambit Processes

DOI10.1007/978-1-4614-5906-4_24zbMath1270.91100OpenAlexW84300698MaRDI QIDQ2841800

Esko Valkeila, Gergely Farkas, Wim Schoutens, José Manuel Corcuera

Publication date: 30 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-5906-4_24

zbMATH Keywords

Gaussian processesbond marketvolatilityCIR modelnonsemimartingalesshort rates

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (4)

Ambit Processes, Their Volatility Determination and Their Applications ⋮ On the Ayed-Kuo stochastic integration for anticipating integrands ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ On stochastic integration for volatility modulated Lévy-driven Volterra processes

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