The role of the risk-neutral jump size distribution in single-factor interest rate models

DOI10.1155/2015/805695zbMath1433.91181OpenAlexW1737872487WikidataQ59101432 ScholiaQ59101432MaRDI QIDQ1668933

L. Gómez-Valle, J. Martínez-Rodríguez

Publication date: 29 August 2018

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/805695

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models ⋮ 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

Cites Work

• Unnamed Item
• Exact solutions for bond and option prices with systematic jump risk
• Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
• Applied stochastic control of jump diffusions.
• Threshold estimation of Markov models with jumps and interest rate modeling
• Numerical solution of stochastic differential equations with jumps in finance
• On the functional estimation of jump-diffusion models.
• Stochastic calculus for finance. II: Continuous-time models.

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