A jump-diffusion model for the euro overnight rate

DOI10.1080/14697688.2010.549142zbMath1241.91125OpenAlexW2034474985MaRDI QIDQ2893080

Mattia Raudaschl

Publication date: 25 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.549142

zbMATH Keywords

arbitrage pricingterm structurederivative pricing modelsapplied mathematical financecontinuous time dynamic finance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

• Multivariate Jacobi process with application to smooth transitions
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
• Unnamed Item

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