Artikel
Lévy interest rate models with a long memory
This article proposes an interest rate model ruled by mean reverting Lévy processes with a sub-exponential memory of their sample path. This feature is achieved by considering an Ornstein-Uhlenbeck process in which the exponential decaying kernel is replaced by a Mittag-Leffler function. Based on a representation in term of an infinite dimensional Markov processes, we present the main characteristics of bonds and short-term rates in this setting. Their dynamics under risk neutral and forward measures are studied. Finally, bond options are valued with a discretization scheme and a discrete Fourier's transform.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 10 ; Year: 2022 ; Issue: 1 ; Pages: 1-28 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
interest rate
Lévy process
Mittag–
Leffler function
mean reverting process
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hainaut, Donatien
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2021
- DOI
-
doi:10.3390/risks10010002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Hainaut, Donatien
- MDPI
Entstanden
- 2021
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