Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates*

DOI10.1088/1469-7688/3/3/305zbMath1405.91664OpenAlexW2121147498MaRDI QIDQ4647262

Olga Yashkir, Yuri Yashkir

Publication date: 14 January 2019

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/46391/1/MPRA_paper_46391.pdf

zbMATH Keywords

auto-correlation factorshort-term rates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Coherent Measures of Risk
• A tractable market model with jumps for pricing short-term interest rate derivatives
• Heterogeneous expectations, currency options and the euro/dollar

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