Alpha-CIR model with branching processes in sovereign interest rate modeling
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Publication:2364536
DOI10.1007/s00780-017-0333-7zbMath1378.91123arXiv1602.05541OpenAlexW4296979416MaRDI QIDQ2364536
Simone Scotti, Ying Jiao, Chunhua Ma
Publication date: 21 July 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.05541
\(\alpha\)-stable Lévy processHawkes processaffine term structure modelsovereign bondCBI processlow interest rate
Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (24)
Necessary and sufficient conditions for ergodicity of CIR model driven by stable processes with Markov switching ⋮ Bond and option pricing for interest rate model with clustering effects ⋮ Continuous time mixed state branching processes and stochastic equations ⋮ Limit theorems for continuous-state branching processes with immigration ⋮ Sensitivity analysis for marked Hawkes processes: application to CLO pricing ⋮ Asian options pricing in Hawkes-type jump-diffusion models ⋮ Coupling methods and exponential ergodicity for two‐factor affine processes ⋮ Well-posedness of a system of SDEs driven by jump random measures ⋮ The Alpha‐Heston stochastic volatility model ⋮ Interest Rates Term Structure Models Driven by Hawkes Processes ⋮ CBI-time-changed Lévy processes ⋮ Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps ⋮ Option pricing under time interval driven model ⋮ Continuous-State Branching Processes with Immigration ⋮ Clustering Effects via Hawkes Processes ⋮ On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients ⋮ A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process ⋮ Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations ⋮ On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case ⋮ On the anisotropic stable JCIR process ⋮ Multiple yield curve modelling with CBI processes ⋮ Sample paths of continuous-state branching processes with dependent immigration ⋮ Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
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