Results 11 to 20 of about 775 (103)
Maximum Likelihood Estimation for Mixed Fractional Vasicek Processes
Fractal and Fractional, 2022 In this paper, we consider the problem of estimating the drift parameters in the mixed fractional Vasicek model, which is an extended model of the traditional Vasicek model.
Chun-Hao Cai +3 more
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Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model
Lithuanian Journal of Statistics, 2016 We consider the fractional Vasicek model of the form dXt = (α-βXt)dt + γdBHt, driven by fractional Brownian motion BH with Hurst parameter H ∈ (0,1). We construct three estimators for an unknown parameter θ=(α,β) and prove their strong consistency.
Stanislav Lohvinenko +2 more
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Maximum likelihood estimation for sub-fractional Vasicek model
Random Operators and Stochastic Equations, 2021 Abstract We investigate the asymptotic properties of maximum likelihood estimators of the drift parameters for the fractional Vasicek model driven by a sub-fractional Brownian motion.
B L S Prakasa Rao
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Pricing Credit Default Swap under Fractional Vasicek Interest Rate Model
Journal of Mathematical Finance, 2014 This paper discusses the pricing problem of credit default swap in the fractional Brownian motion environment. As credit default swap is exposed to both the interest rate risk and the default risk, we assume that the default intensity of a firm depends on the stochastic interest rate and the default states of counterparty firms.
Ruili Hao, Yonghui Liu, Shoubai Wang
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International Journal of Analysis and Applications, 2023 In this study, we propose a more comprehensive and realistic option pricing model based on approximative fractional Brownian motion, building upon recent advancements in this area.
Siham Bayad +2 more
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Asian option pricing under sub-fractional vasicek model
Quantitative Finance and Economics, 2023 <abstract><p>This paper investigates the pricing formula for geometric Asian options where the underlying asset is driven by the sub-fractional Brownian motion with interest rate satisfying the sub-fractional Vasicek model. By applying the sub-fractional $ {\rm{It\hat o}} $ formula, the Black-Scholes (B-S) type Partial Differential ...
Lichao Tao +3 more
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Discount Rates, Debt Maturity, and the Fiscal Theory
The Journal of Finance, Volume 78, Issue 6, Page 3561-3620, December 2023., 2023 ABSTRACT This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government portfolio to affect expected inflation, even in a frictionless economy.
ALEXANDRE CORHAY +3 more
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Time‐invariant portfolio strategies in structured products with guaranteed minimum equity exposure
Applied Stochastic Models in Business and Industry, Volume 39, Issue 6, Page 847-868, November/December 2023., 2023 Abstract We introduce a new exotic option to be used within structured products to address a key disadvantage of standard time‐invariant portfolio protection: the well‐known cash‐lock risk. Our approach suggests enriching the framework by including a threshold in the allocation mechanism so that a guaranteed minimum equity exposure (GMEE) is ensured at
Luca Di Persio +3 more
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Environmental Microbiology, Volume 25, Issue 11, Page 2416-2430, November 2023., 2023 Carbohydrate metabolism in the opportunistic human pathogen Acinetobacter baumannii is largely understudied. Here, we describe the ability of A. baumannii ATCC 19606 to grow on L‐arabinose, D‐xylose and D‐ribose, which was not observed in the soil bacterium Acinetobacter baylyi.
Lydia Alberti +6 more
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Asymptotic theory for rough fractional Vasicek models
Economics Letters, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
XIAO, Weilin, YU, Jun
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