Results 61 to 70 of about 777 (100)

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  

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  

A Guide to Modeling Credit Term Structures [PDF]

, 2009
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model, the ...
Berd, Arthur M.
core  

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

Dynamic Risk Profile of the US Term Structure by Wavelet MRA [PDF]

A careful examination of interest rate time series from different U.S. Treasury maturities by Wavelet Multiresolution Analysis (MRA) suggests that the first differences of the term structure of interest rate series are periodic or, at least, cyclic, non ...
CORNELIS A. LOS, SUTTHISIT JAMDEE
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, Oduneye, Chris Emeka   +1 more
core   +1 more source

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

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
core  

Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate [PDF]

This paper identifies the Multifractal Models of Asset Return (MMARs) from the eight nodal term structure series of US Treasury rates as well as the Fed Funds rate and, after proper synthesis, simulates those MMARs.
Cornelis A. Los, Sutthisit Jamdee
core  

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