The potential approach in practice

DOI10.1142/S0219024918500218MaRDI QIDQ4565072zbMATH OpenOpenAlexFDO

Authors T. Kluge, L. C. G. Rogers

Publication date 7 June 2018

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1204.5718

zbMATH Keywords

Markov chainparticle filteringinterest ratespotential approach

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Abstract: The potential approach is a general and simple method for modelling interest rates, foreign exchange rates, and in principle other types of financial assets. This paper takes data on some liquid interest rate derivatives, and fits potential models using a small finite-state Markov chain as the base Markov process.

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Cites work

• scientific article; zbMATH DE number 1724302 (Why is no real title available?)
• A joint stock and bond market based on the hyperbolic Gaussian model
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Risk premia and volatilities in a nonlinear term structure model
• Taking positive interest rates seriously
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• The multi-curve potential model

Cited in

(2)

• scientific article; zbMATH DE number 3887527 (Why is no real title available?)
• scientific article; zbMATH DE number 1724302 (Why is no real title available?)

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