Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence
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Publication:6567317
Characteristic functions; other transforms (60E10) Numerical methods (including Monte Carlo methods) (91G60) Error bounds for numerical methods for ordinary differential equations (65L70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Perturbations, asymptotics of solutions to ordinary differential equations (34E10)
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Cites work
- scientific article; zbMATH DE number 1432782 (Why is no real title available?)
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- 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
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- Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
- 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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