Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence

DOI10.1016/J.CAM.2024.115899MaRDI QIDQ6567317zbMATH OpenFDO

Authors Cheng-Hsun Wu

Publication date 4 July 2024

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.2024.115899

zbMATH Keywords

conditional momentsmultifactor CIR modelperturbation methodRiccati equationsterm structure model

Mathematics Subject Classification ID

Perturbations, asymptotics of solutions to ordinary differential equations (34E10) Characteristic functions; other transforms (60E10) Error bounds for numerical methods for ordinary differential equations (65L70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form formula for the conditional moments of the extended CIR process
• A multifactor volatility Heston model
• A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan
• A survey and some generalizations of Bessel processes
• A theory of the term structure of interest rates
• Affine diffusion processes: theory and applications
• Affine processes and applications in finance
• Closed-form formula for conditional moments of generalized nonlinear drift CEV process
• Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes
• Consistent Estimation of Models Defined by Conditional Moment Restrictions
• Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect
• Fast maximum likelihood estimation of parameters for square root and Bessel processes
• Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• Interest rates forecasting: between hull and white and the CIR\# -- how to make a single-factor model work
• Large Sample Properties of Generalized Method of Moments Estimators
• Moments and ergodicity of the jump-diffusion CIR process
• On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
• Optional projection under equivalent local martingale measures
• Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
• Spectral GMM estimation of continuous-time processes
• Squared Bessel processes and their applications to the square root interest rate model

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