Search Results - subject:"CIR Model"

Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks

Yao, Jing (contributor); Hu, Xiang (contributor); … - 2024

Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...

Persistent link: https://www.econbiz.de/10015325017

A stochastically correlated bivariate square-root model

Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-24

We introduce a novel stochastically correlated two-factor (i.e., bivariate) diffusion process under the square-root format, for which we analytically obtain the corresponding solutions for the conditional moment-generating functions and conditional characteristic functions. Such solutions...

Persistent link: https://www.econbiz.de/10014636327

Pricing of pseudo-swaps based on pseudo-statistics

Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30

compare this approach with the most popular stochastic volatility model in the Cox-Ingresoll-Ross (CIR) model. Within this … from stochastic volatility models such as the Cox-Ingresoll-Ross (CIR) model, which, in comparison, follows a stochastic …, we will use the CIR model for comparison within this paper, due to the popularity of the CIR model. Therefore, in this …

Persistent link: https://www.econbiz.de/10014370400

Pricing multi-event-triggered catastrophe bonds based on a copula-POT model

Tang, Yifan; Wen, Conghua; Ling, Chengxiu; Zhang, Yuqing - In: Risks : open access journal 11 (2023) 8, pp. 1-19

The constantly expanding losses caused by frequent natural disasters pose many challenges to the traditional catastrophe insurance market. The purpose of this paper is to develop an innovative and systemic trigger mechanism for pricing catastrophic bonds triggered by multiple events with an...

Persistent link: https://www.econbiz.de/10014370493

On the deterministic-shift extended CIR model in a negative interest rate framework

Di Francesco, Marco; Kamm, Kevin - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-26

analytical tractability of the original Cox-Ingersoll-Ross (CIR) model with a perfect fit to the observed term-structure. We use …

Persistent link: https://www.econbiz.de/10013252794

Optimal dividend payout under stochastic discounting

Bandini, Elena; De Angelis, Tiziano; Ferrari, Giorgio; … - In: Mathematical finance : an international journal of … 32 (2022) 2, pp. 627-677

Persistent link: https://www.econbiz.de/10013164565

Optimal dividend payout under stochastic discounting

Bandini, Elena; De Angelis, Tiziano; Ferrari, Giorgio; … - 2021

Persistent link: https://www.econbiz.de/10013329541

Optimal dividend payout under stochastic discounting

Bandini, Elena; De Angelis, Tiziano; Ferrari, Giorgio; … - 2020

Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash flows are discounted at a stochastic dynamic rate. Dividends can be paid to shareholders at unrestricted rates so that...

Persistent link: https://www.econbiz.de/10012388853

Optimal dividend payout under stochastic discounting

Bandini, Elena; De Angelis, Tiziano; Ferrari, Giorgio; … - 2020

Persistent link: https://www.econbiz.de/10012243397

Application of Kalman Filter on modelling interest rates.

Vo, Long H. - In: Journal of Management Sciences 1 (2014) 1, pp. 1-15

This study aims to test the feasibility of using a data set of 90-day bank bill forward rates from the Australian market to predict spot interest rates. To achieve this goal I utilized the application of Kalman lter in a state space model with time-varying state variable. It is documented that...

Persistent link: https://www.econbiz.de/10010898065