Lie Symmetry Analysis for the Fractal Bond‐Pricing Model of Mathematical Finance
Journal of Mathematics, Volume 2024, Issue 1, 2024.The classical bond‐pricing models, as important financial tools, show strong vitality in bond pricing. However, these models also expose their theoretical defects, which leads to inconsistencies with the actual observation results and usually causes the theoretical prices of bonds to be lower than the actual market prices in the financial market.
Chao Yue, Chuanhe Shen, M. M. Bhatti
wiley +1 more source
Properties, Bounds, and Estimation of Rényi Entropy in Consecutive k‐out‐of‐n:G Systems
Journal of Mathematics, Volume 2024, Issue 1, 2024.This study investigates the Renyi entropy properties of consecutive k‐out‐of‐n : G systems. Initially, a formula for the Renyi entropy of the lifetime of a consecutive k‐out‐of‐n:G system is derived, offering a thorough insight into its Renyi entropy characteristics.
Mansour Shrahili, Antonio Di Crescenzo
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The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application [PDF]
The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Frederiksen, Per H., Høg, Espen P.
core
Specification analysis in regime-switching continuous-time diffusion models for market volatility [PDF]
, 2016 We examine model specification in regime-switching continuous-time diffusions for modeling S&P 500 Volatility Index (VIX). Our investigation is carried out under two nonlinear diffusion frameworks, the NLDCEV and the CIRCEV frameworks, and our focus is ...
Bu, R, Cheng, J, Hadri, K
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Comments on “A selective overview of nonparametric methods in financial econometrics†[PDF]
In recent years there has been increased interest in using nonparametric methods to deal with various aspects of financial data. The paper by Fan overviews some nonparametric techniques that have been used in the financial econometric literature ...
Jun Yu, Peter C. B. Phillips
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The Fractional OU Process: Term Structure Theory and Application [PDF]
The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Esben Hoeg, Per Frederiksen
core
Modelling the Evolution of Credit Spreads in the United States [PDF]
The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries.
Jun Yang, Stuart M. Turnbull
core
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan [PDF]
Our comments on Fan’s paper will concentrate on two issues that relate in important ways to the paper’s focus on misspecification and discretization bias and the role of nonparametric methods in empirical finance.
Jun Yu, Peter C. B. Phillips
core
Credit Modelling: Generating Spread Dynamics with Intensities and Creating Dependence with Copulas
, 2011 The thesis is an investigation into the pricing of credit risk under the intensity framework with a copula generating default dependence between obligors.
Oduneye, Chris Emeka +1 more
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LEAST SQUARES ESTIMATORS OF DRIFT PARAMETER FOR DISCRETELY OBSERVED FRACTIONAL VASICEK-TYPE MODEL
International Journal of Advanced ResearchWe study the drift parameter estimation problem for a fractional Vasicek-typemodel X:={X_t,t⩾0}, that is defined as dX_t=θ(µ+X_t)dt+dB_t^H, t⩾0 withunknown parameters θ>0 and µ∈â„ÂÂ, where {B_t^H,t⩾0}is a fractional Brownianmotion of Hurst index H ∈]0, 1 ...
Maoudo Faramba Balde +2 more
openaire +1 more source