Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models Pub Date : 2024-02-05 DOI:10.1080/15326349.2024.2305344

Emmanuel Coffie

引用次数: 0

Abstract

While the original Ait-Sahalia interest rate model has been found to be of considerable use for describing the time-series evolution of interest rates, it may not possess adequate specifications to...

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带延迟的混合泊松-跳跃艾特-萨哈利亚型利率模型的数值逼近

虽然最初的艾特-萨哈利亚利率模型被认为在描述利率的时间序列演变方面有相当大的作用，但它可能不具备足够的规格来......

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来源期刊

Stochastic Models 数学-统计学与概率论

CiteScore

1.30

自引率

14.30%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastic Models publishes papers discussing the theory and applications of probability as they arise in the modeling of phenomena in the natural sciences, social sciences and technology. It presents novel contributions to mathematical theory, using structural, analytical, algorithmic or experimental approaches. In an interdisciplinary context, it discusses practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories and dams, reliability, storage, queueing theory, mathematical finance and operations research.