Results 21 to 30 of about 129 (88)

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, Kostiantyn Ralchenko, Olga Zhuchenko   +2 more
doaj   +1 more source

Estimation the vasicek interest rate model driven by fractional Lévy processes with application

Journal of Physics: Conference Series, 2021
Abstract In this article, we present that fractional Lévy processes which is very an important field in both probability theory and its application in recent years. The fractional Brownian motion is suggested as the fractional Lévy processes in this article.
M F Al-Saadony, W J Al-Obaidi
openaire   +1 more source

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, THILO KIND, HOWARD KUNG, GONZALO MORALES   +3 more
wiley   +1 more source

Asymptotic theory for rough fractional Vasicek models

Economics Letters, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
XIAO, Weilin, YU, Jun
openaire   +4 more sources

Calibration of time-dependent volatility for European options under the fractional Vasicek model

AIMS Mathematics, 2022
<abstract><p>In this paper, we calibrate the time-dependent volatility function for European options under the fractional Vasicek interest rate model. A fully implicit finite difference method is applied to solve the partial differential equation of option pricing numerically.
Jiajia Zhao, Zuoliang Xu
openaire   +2 more sources

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, D. Mancinelli, Immacolata Oliva, K. Wallbaum   +3 more
wiley   +1 more source

Bull Spread Option pricing using a mixed modified fractional process with stochastic volatility and interest rates

, 2021
International audienceWe price options so as to take into account the existence of memory (short or long) characterizing the stochastic processes that generate prices, volatility and interest rates.
Sadefo-Kamdem, Jules, Djeutcha, Eric
core   +1 more source

Consumption in Asset Returns

The Journal of Finance, EarlyView.
ABSTRACT Using information in returns, we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets. This persistent component accounts for over a quarter of consumption variation. These shocks command a large and significant risk premium, driving a large
SVETLANA BRYZGALOVA, JIANTAO HUANG, CHRISTIAN JULLIARD   +2 more
wiley   +1 more source

Functional Vašiček Model

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka, Neda Mohammadi, Leonardo Santoro, Hong Miao, Haonan Wang   +4 more
wiley   +1 more source

Robust Bernoulli Mixture Models for Credit Portfolio Risk

Mathematical Finance, Volume 36, Issue 3, Page 528-543, July 2026.
ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley   +1 more source