Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
DOI10.1016/J.CAM.2015.02.031zbMATH Open1320.91149OpenAlexW2062142311MaRDI QIDQ491007FDOQ491007
L. Gómez-Valle, J. Martínez-Rodríguez
Publication date: 24 August 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.02.031
Recommendations
- The role of the risk-neutral jump size distribution in single-factor interest rate models
- The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
- Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic volatility
- A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models
- A numerical approach to obtain the yield curves with different risk-neutral drifts
nonparametric estimationinterest ratesnumerical differentiationjump-diffusion stochastic processesyield curves
Nonparametric estimation (62G05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- A theory of the term structure of interest rates
- The jackknife and the bootstrap for general stationary observations
- An equilibrium characterization of the term structure
- Title not available (Why is that?)
- Stochastic calculus for finance. II: Continuous-time models.
- Numerical solution of stochastic differential equations with jumps in finance
- On the functional estimation of jump-diffusion models.
- Applied stochastic control of jump diffusions.
- Exact solutions for bond and option prices with systematic jump risk
- Threshold estimation of Markov models with jumps and interest rate modeling
Cited In (9)
- Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
- A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models
- Modelling Specific Interest Rate Risk with Estimation of Missing Data
- On the nonparametric inference of coefficients of self-exciting jump-diffusion
- The jump size distribution of the commodity spot price and its effect on futures and option prices
- Real-World Versus Risk-Neutral Measures in the Estimation of an Interest Rate Model with Stochastic Volatility
- The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
- The role of the risk-neutral jump size distribution in single-factor interest rate models
- Editorial: Mathematical modeling and computational methods
This page was built for publication: Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q491007)
