具有跳跃的时滞ait - sahalia型利率模型及其强逼近

IF 1.3 Q2 STATISTICS & PROBABILITY

Statistics & Risk Modeling Pub Date : 2023-08-25 DOI:10.1515/strm-2022-0013

E. Coffie

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引用次数: 0

摘要

摘要本文研究了具有泊松驱动跳跃的广义时滞Ait-Sahalia型利率模型真解的解析性质。由于该模型不具有闭合形式的解，我们采用几种新的截断Euler Maruyama（EM）技术来研究局部Lipschitz条件加Khasminski型条件下数值解的有限时间强收敛理论。我们证明了一些债务和衍生工具的蒙特卡罗校准和估值的强收敛性结果。

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Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation

Abstract In this paper, we study the analytical properties of the true solution to the generalised delay Ait-Sahalia-type interest rate model with Poisson-driven jumps. Since this model does not have a closed-form solution, we employ several new truncated Euler-Maruyama (EM) techniques to investigate the finite-time strong convergence theory of the numerical solution under the local Lipschitz condition plus the Khasminskii-type condition. We justify the strong convergence result for Monte Carlo calibration and valuation of some debt and derivative instruments.

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来源期刊

Statistics & Risk Modeling STATISTICS & PROBABILITY-

CiteScore

1.80

自引率

6.70%

发文量

期刊介绍： Statistics & Risk Modeling (STRM) aims at covering modern methods of statistics and probabilistic modeling, and their applications to risk management in finance, insurance and related areas. The journal also welcomes articles related to nonparametric statistical methods and stochastic processes. Papers on innovative applications of statistical modeling and inference in risk management are also encouraged. Topics Statistical analysis for models in finance and insurance Credit-, market- and operational risk models Models for systemic risk Risk management Nonparametric statistical inference Statistical analysis of stochastic processes Stochastics in finance and insurance Decision making under uncertainty.