Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect

DOI10.1080/03610926.2019.1617879OpenAlexW2945204234WikidataQ127851400 ScholiaQ127851400MaRDI QIDQ5078025

Kai-Jiun Chang, Cheng-Hsun Wu

Publication date: 20 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1617879

zbMATH Keywords

perturbation theoryRiccati equationstransition densityterm structure of interest ratemulti-factor CIR model

Mathematics Subject Classification ID

Statistics (62-XX) Characteristic functions; other transforms (60E10) Approximations to statistical distributions (nonasymptotic) (62E17) Error bounds for numerical methods for ordinary differential equations (65L70) Perturbations, asymptotics of solutions to ordinary differential equations (34E10)

Cites Work

• A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term
• Spectral GMM estimation of continuous-time processes
• Closed-form likelihood expansions for multivariate diffusions
• Density approximations for multivariate affine jump-diffusion processes
• A Theory of the Term Structure of Interest Rates
• Affine Diffusion Processes: Theory and Applications
• An Intertemporal General Equilibrium Model of Asset Prices
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Credit risk modeling with affine processes
• Estimation of affine asset pricing models using the empirical characteristic function

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