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.
- Language
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Englisch
- Bibliographic citation
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 10 ; Year: 2022 ; Issue: 1 ; Pages: 1-28 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
-
interest rate
Lévy process
Mittag–
Leffler function
mean reverting process
- Event
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Geistige Schöpfung
- (who)
-
Hainaut, Donatien
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2021
- DOI
-
doi:10.3390/risks10010002
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Hainaut, Donatien
- MDPI
Time of origin
- 2021
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