Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
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Cites work
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- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- A fractional credit model with long range dependent default rate
- A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)
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- Fractional integral equations and state space transforms
- Fractional term structure models: No-arbitrage and consistency
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- Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
- Long memory story of the real interest rate
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- Modelling microstructure noise with mutually exciting point processes
- Parameter estimation in stochastic differential equations.
- Parameter estimation in stochastic volatility models
- Path properties of a generalized fractional Brownian motion
- Pricing credit derivatives under fractional stochastic interest rate models with jumps
- Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process
- Some limit theorems for Hawkes processes and application to financial statistics
- Spectra of some self-exciting and mutually exciting point processes
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Statistical aspects of the fractional stochastic calculus
- The Invariance Principle for Stationary Processes
- The fractional and mixed-fractional CEV model
- The pricing of options and corporate liabilities
- The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion
- Time-varying long-range dependence in US interest rates
- Two singular diffusion problems
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