Results 51 to 60 of about 129 (88)

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.
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Application of the Esscher Transform to Pricing Forward Contracts on Energy Markets in a Fuzzy Environment. [PDF]

Entropy (Basel), 2023
Nowak P, Pawłowski M.
europepmc   +1 more source

Applications of second order ornstein unlenbeck stochastic processes to credit risk modeling [PDF]

, 2020
We consider applications of second order stochastic processes for analysis and forecasting credit loss. In contrast to the Vasicek model based on the one-dimensional Ornstein-Uhlenbeck stochastic differential equation driven by the Wiener process, we ...
Vaskouski, M.
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Pricing an Asset-Or-Nothing Call Option using a Mixed Fractional Hull-White-Vasicek with stochastic volatility and interest rate

International audienceIn this paper, we present a pricing model for an Asset-or-Nothing call option under the mixed modified fractional Hull-White-Vasicek(MMFHWV) model, which incorporates stochastic volatility and stochastic interest rates.
Sadefo Kamdem, Jules, Djeutcha, Eric
core   +1 more source

Pricing geometric average Asian options in the mixed sub-fractional Brownian motion environment with Vasicek interest rate model

AIMS Mathematics
<p>Considering the characteristics of long-range correlations in financial markets, the issue of valuing geometric average Asian options is examined, assuming that the variations of the underlying asset follow the mixed sub-fractional Brownian motion, and the dynamics of short-term interest rate satisfies the mixed sub-fractional Vasicek model ...
Xinyi Wang, Chunyu Wang
openaire   +2 more sources

LEAST SQUARES ESTIMATORS OF DRIFT PARAMETER FOR DISCRETELY OBSERVED FRACTIONAL VASICEK-TYPE MODEL

International Journal of Advanced Research
We 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∈ℝ, where {B_t^H,t⩾0}is a fractional Brownianmotion of Hurst index H ∈]0, 1 ...
Maoudo Faramba Balde, Bakary Kourouma, Mamadou Saliou Bahand Abdoulaye Mendy   +2 more
openaire   +1 more source

Lie symmetry analysis on pricing power options under the Heston dynamic and some fractional financial models [PDF]

The rise of computational mathematics in financial markets has accelerated the bloom of various financial models. For instance, the Black-Scholes-Merton model, the Vasicek model, the Cox-Ingersoll-Ross model, the Heston model, etc.
Chong, Kam Yoon
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A Tree Implementation of a Credit Spread Model for Credit Derivatives [PDF]

In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken ...
Philipp J. Schönbucher
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Stability of non-trivial solutions of stochastic differential equations driven by the fractional Brownian motion

, 2019
Mestrado em Mathematical FinanceO objectivo desta dissertação é o de generalizar um resultado sobre a estabilidade exponencial de soluções triviais de equações diferenciais estocásticas com movimento Browniano fraccionário, desenvolvido por Garrido ...
Valente, Maria Serra
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Bayesian Stochastic Differential Equation Modelling with Application to Finance

, 2013
In this thesis, we consider some popular stochastic differential equation models used in finance, such as the Vasicek Interest Rate model, the Heston model and a new fractional Heston model.
Al-Saadony, Muhannad
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