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

Many financial products sensitive to daily rate changes dictate the importance of adequate modelling of short-term rates. Their intrinsic properties are investigated based on historical market data. A new short-term rate model with the non-Gaussian random driver and auto-correlation factors is introduced. Special calibration procedures for the model are presented. Short-term rate stochastic dynamics are investigated in several numerical experiments.

MoreLess

Year of publication:	2003
Authors:	Yashkir, Olga ; Yashkir, Yuri
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 3.2003, 3, p. 195-200
Publisher:	Taylor & Francis Journals

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009208404