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Empirical Implementation of a 2-Factor Structural Model for Loss-Given-Default

In this study we develop a theoretical model for ultimate loss-given default in the Merton (1974) structural credit risk model framework, deriving compound option formulae to model differential seniority of instruments, and incorporating an optimal ...
Jacobs, Jr., Michael
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Maximum Likelihood Estimation in the Mixed Fractional Vasicek Model

Journal of the Indian Society for Probability and Statistics, 2021
We investigate the asymptotic properties of the maximum likelihood estimator of the unknown parameters in the fractional Vasicek model driven by a mixed fractional Brownian motion.
B L S Prakasa Rao
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Least squares estimations for approximate fractional Vasicek model driven by a semimartingale

Mathematics and Computers in Simulation, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jixia Wang, Xiaofang Xiao, Chao Li
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A mixed fractional Vasicek model and pricing Bermuda option on zero-coupon bonds

Sādhanā, 2020
This paper considers the problem of pricing of Bermuda options on zero-coupon bond in which the dynamics of the interest rate model follows the mixed fractional Vasicek model. The strong convergence of the Euler discretization scheme for the mixed fractional Vasicek model is analysed.
Farshid Mehrdoust, Ali Reza Najafi, Hossein Samimi   +2 more
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Interest rate options in one-factor mixed modified fractional Vasicek model

International Journal of Financial Engineering
This paper introduces an innovative interest rate model in which the dynamics of each factor influencing the underlying short-term interest rate is described using a mixed modified fractional Vasicek framework. The study focuses on (a) formulating the short-term interest rate model and identifying its key parameters, including expectations, variance ...
Eric Djeutcha, Jules Sadefo Kamdem, Louis Aimé Fono   +2 more
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Fractional Vasicek Model in Financial Mathematics

2021 IEEE International Conference on Technology, Research, and Innovation for Betterment of Society (TRIBES), 2021
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Calibrating fractional Vasicek model

Communications in Statistics - Theory and Methods, 2021
In this paper, the estimators for the Hurst parameter and diffusion parameter of a Vasicek model driven by fractional Brownian motion are studied, where the observations are in discrete time.
Yuecai Han, Nan Li
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Parameter Estimation for the Discretely Observed Vasicek Model with Small Fractional Lévy Noise

Acta Mathematica Sinica, English Series, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Shen, Guang Jun, Wang, Qing Bo, Yin, Xiu Wei   +2 more
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Valuation of Bid and Ask Prices for Cap and Floor Contracts In a Fractional Vasicek Model

SSRN Electronic Journal, 2018
This paper derives bid and ask formulas for cap and floor contracts by using Wang trans- form under fractional version of the Vasicek interest rate model. To do this, first the parameters of the model are estimated by MLE calibration method, then standard and fractional version of the Vasicek model are compared by the Akaike information criterion ...
Ali Reza Najaf, Farshid Mehrdoust, Hossein Samimi   +2 more
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Statistical properties of parameter estimators in the fractional Vasicek model

, 2019
Lohvinenko, S. S.
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