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

DOI10.1088/1469-7688/3/3/305zbMATH Open1405.91664OpenAlexW2121147498MaRDI QIDQ4647262FDOQ4647262

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

Recommendations

• A short term interest rate model
• A note on the volatility term structure in short rate models
• Short rate as a sum of two CKLS-type processes
• Probability Properties of Interest Rate Models
• Stochastic models of financial mathematics

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)

Cites Work

• Title not available (Why is that?)
• Coherent measures of risk
• Interest rate modelling.
• Heterogeneous expectations, currency options and the euro/dollar
• A tractable market model with jumps for pricing short-term interest rate derivatives

This page was built for publication: Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4647262)