Alpha-CIR model with branching processes in sovereign interest rate modeling
Ying Jiao, Chunhua Ma, Simone Scotti
| Year of publication: |
July 2017
|
|---|---|
| Authors: | Jiao, Ying ; Ma, Chunhua ; Scotti, Simone |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 3, p. 789-813
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| Subject: | α-Stable Lévy process | CBI process | Affine term structure model | Low interest rate | Sovereign bond | Zinsstruktur | Yield curve | Öffentliche Anleihe | Public bond | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Anleihe | Bond | Zins | Interest rate | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-017-0333-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944426