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Inference in a Non-Homogeneous Vasicek Type Model

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Giuseppina Albano

    (University of Salerno)

  • Virginia Giorno

    (University of Salerno)

Abstract

In the paper we propose a stochastic model, based on a Vasicek non-homogeneous diffusion process, in which the trend coefficient and the volatility are deterministic time-dependent functions. The stochastic inference based on discrete sampling in time is established using a methodology based on the moments of the stochastic process. In order to evaluate the goodness of the proposed methodology a simulation study is discussed.

Suggested Citation

  • Giuseppina Albano & Virginia Giorno, 2018. "Inference in a Non-Homogeneous Vasicek Type Model," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 13-17, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_3
    DOI: 10.1007/978-3-319-89824-7_3
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