The role of the risk-neutral jump size distribution in single-factor interest rate models
type: Item
instance of: scholarly article
title: The role of the risk-neutral jump size distribution in single-factor interest rate models
zbMATH Open document ID: 1433.91181
DOI: 10.1155/2015/805695
author: L. Gómez-Valle
author: J. Martínez-Rodríguez
published in: Abstract and Applied Analysis
publication date: 2018-08-29T00:00:00Z
review text: Summary: We obtain a result that relates the risk-neutral jump size of interest rates with yield curve data. This function is unobservable; therefore, this result opens a way to estimate the jump size directly from data in the markets together with the risk-neutral drift and jump intensity estimations. Then, we investigate the finite sample performance of this approach with a test problem. Moreover, we analyze the effect of estimating the risk-neutral jump size instead of assuming that it is artificially absorbed by the jump intensity, as usual in the interest rate literature. Finally, an application to US Treasury Bill data is also illustrated.
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 6929085
Wikidata QID: Q59101432
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2015/805695
OpenAlex ID: W1737872487
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description: scientific article; zbMATH DE number 6929085