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Tsallis Entropy in Consecutive <i>k</i>-out-of-<i>n</i> Good Systems: Bounds, Characterization, and Testing for Exponentiality. [PDF]

Entropy (Basel)
Alqefari AA, Alomani G, Kayid M.
europepmc   +1 more source

Shared appreciation mortgages: property derivatives and unconventional loan interest charges. [PDF]

, 2008
Boon, Terry
core  

Modelización estocástica en los mercados financieros: Un puente entre lo simple y lo complejo [PDF]

, 2002
Alba Riesco, José María, Olmedo Fernández, Elena, Valderas Jaramillo, Juan Manuel   +2 more
core  

Nonlinear interest rate dynamics and implications for the term structure. [PDF]

Pfann, G.A., Schotman, Peter C., Tschernig, R.   +2 more
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Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions [PDF]

Carrasco, Marine, Chernov, Mikhaël, Florens, Jean-Pierre, Ghysels, Eric   +3 more
core  

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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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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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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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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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