SELF EXCITING THRESHOLD INTEREST RATES MODELS

DOI10.1142/S0219024906003937MaRDI QIDQ3421826zbMATH OpenOpenAlexFDO

Authors Marc Decamps, Marc J. Goovaerts, Wim Schoutens

Publication date 8 February 2007

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024906003937

zbMATH Keywords

eigenfunction expansionsinterest ratesmarket modelsSETARskew Brownian motionstate-price density

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• A model for interest rates with clustering effects
• Markov interest rate models
• scientific article; zbMATH DE number 1368805
• A simple regime switching term structure model
• The Term Structure of Simple Forward Rates with Jump Risk

Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Applications of eigenfunction expansions in continuous-time finance
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Estimation of the coefficients of a diffusion from discrete observations
• scientific article; zbMATH DE number 2150787 (Why is no real title available?)
• LIBOR and swap market models and measures
• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Nonlinear interest rate dynamics and implications for the terms structure
• On skew Brownian motion
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem
• The concept of comonotonicity in actuarial science and finance: theory.
• The Market Model of Interest Rate Dynamics
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Volatility skews and extensions of the Libor market model
• “Skew-Brownian Motion” and Derived Processes

Cited in

(37)

• On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
• Pricing double barrier options under a volatility regime-switching model with psychological barriers
• Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
• A simple trinomial lattice approach for the skew-extended CIR models
• Statistical estimation of the oscillating Brownian motion
• On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time
• Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
• Multilayer heat equations and their solutions via oscillating integral transforms
• On the transition density and first hitting time distributions of the doubly skewed CIR process
• Extreme at-the-money skew in a local volatility model
• Discretionary stopping of stochastic differential equations with generalised drift
• Skew CIR process, conditional characteristic function, moments and bond pricing
• First hitting times for doubly skewed Ornstein-Uhlenbeck processes
• Arbitrage in skew Brownian motion models
• Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
• Skew Ornstein-Uhlenbeck processes and their financial applications
• The valuation of options on foreign exchange rate in a target zone
• On identification of the threshold diffusion processes
• A Markov chain approximation scheme for option pricing under skew diffusions
• Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift
• A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
• A Donsker theorem to simulate one-dimensional processes with measurable coefficients
• Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
• Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
• Two consistent estimators for the skew Brownian motion
• Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
• On short-term loan interest rate models: a first passage time approach
• HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?
• Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
• Testing for Threshold Diffusion
• Determining the number and values of thresholds for multi-regime threshold Ornstein-Uhlenbeck processes
• Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
• Weak Approximation for a Black-Scholes Type Regime Switching Model
• Rates of convergence to the local time of oscillating and skew Brownian motion
• Parameters estimation of a threshold Chan-Karolyi-Longstaff-Sanders process from continuous and discrete observations
• Quasi-likelihood estimation of a threshold diffusion process
• Some properties of doubly skewed CIR processes

This page was built for publication: SELF EXCITING THRESHOLD INTEREST RATES MODELS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3421826)