Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling
Download full text from publisher
References listed on IDEAS
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
- D. P. Kennedy, 1994. "The Term Structure Of Interest Rates As A Gaussian Random Field," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 247-258.
- Thibault Jaisson & Mathieu Rosenbaum, 2013. "Limit theorems for nearly unstable Hawkes processes," Papers 1310.2033, arXiv.org, revised Mar 2015.
- Damir Filipovic, 2001. "A general characterization of one factor affine term structure models," Finance and Stochastics, Springer, vol. 5(3), pages 389-412.
- Duhalde, Xan & Foucart, Clément & Ma, Chunhua, 2014. "On the hitting times of continuous-state branching processes with immigration," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 4182-4201.
- Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015.
"Modeling financial contagion using mutually exciting jump processes,"
Journal of Financial Economics,
Elsevier, vol. 117(3), pages 585-606.
- Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven, 2010. "Modeling Financial Contagion Using Mutually Exciting Jump Processes," NBER Working Papers 15850, National Bureau of Economic Research, Inc.
- Gibbons, Michael R & Ramaswamy, Krishna, 1993. "A Test of the Cox, Ingersoll, and Ross Model of the Term Structure," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 619-658.
- Kallsen, Jan & Muhle-Karbe, Johannes, 2010. "Exponentially affine martingales, affine measure changes and exponential moments of affine processes," Stochastic Processes and their Applications, Elsevier, vol. 120(2), pages 163-181, February.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:eee:spapps:v:128:y:2018:i:4:p:1135-1164 is not listed on IDEAS
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-03-17 (All new papers)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-01275397. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD). General contact details of provider: https://hal.archives-ouvertes.fr/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.