Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates

DOI10.1088/1469-7688/3/3/305MaRDI QIDQ4647262zbMATH OpenOpenAlexFDO

Authors Olga Yashkir, Yuri Yashkir

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/46391/1/MPRA_paper_46391.pdf

zbMATH Keywords

auto-correlation factorshort-term rates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 236854 (Why is no real title available?)
• A tractable market model with jumps for pricing short-term interest rate derivatives
• Coherent measures of risk
• Heterogeneous expectations, currency options and the euro/dollar
• Interest rate modelling.

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