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Lévy-Vasicek models and the long-bond return process

Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10011889447

Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns

Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 61 (2015), pp. 99-109

Persistent link: https://www.econbiz.de/10010515914

Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation

Žmuk, Berislav; Kovač, Matej - In: Croatian review of economic, business and social … 6 (2020) 1, pp. 27-42

An accurate weather forecast is the basis for the valuation of weather derivatives, securities that partially compensate for financial losses to holders in case of, from their perspective, adverse outside temperature. The paper analyses precision of two forecast models of average daily...

Persistent link: https://www.econbiz.de/10012264990

Joint modelling of S&P500 and VIX indices with rough fractional Ornstein-Uhlenbeck volatility model

Önalan, Ömer - In: Romanian journal of economic forecasting 25 (2022) 1, pp. 68-84

Persistent link: https://www.econbiz.de/10013411688

Default risk in stochastic volatility models

Gersbach, Hans; Surulescu, Nicolae Mircea - 2010 - This version: June 2010

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values … default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …

Persistent link: https://www.econbiz.de/10008748331