A Vasicek-Type Short Rate Model With Memory Effect

DOI10.1080/07362994.2015.1087864zbMath1332.60101arXiv1504.01542OpenAlexW2962932831MaRDI QIDQ3459230

Yusuke Nakamura, Akihiko Inoue, Shingo Moriuchi

Publication date: 21 December 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.01542

zbMATH Keywords

stochastic differential equationyield curveaffine term structureterm structure equationVasicek-type short rate model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Representation theorems in finite prediction, with applications

Cites Work

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• Diffusion-type models with given marginal distribution and autocorrelation function
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Financial Markets with Memory I: Dynamic Models
• Financial Markets with Memory II: Innovation Processes and Expected Utility Maximization
• Multi-factor term structure models
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• An equilibrium characterization of the term structure

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