A pure-jump mean-reverting short rate model

DOI10.15559/20-VMSTA152zbMath1452.91318arXiv2006.14814MaRDI QIDQ2209739

Yanyan Li

Publication date: 4 November 2020

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.14814

zbMATH Keywords

stochastic differential equationoption pricingOrnstein-Uhlenbeck processLévy processshort ratezero-coupon bondforward ratemulti-factor modelmarket-consistent calibrationpost-crisis model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (1)

Interest rate modeling with generalized Langevin equations

Cites Work

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