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An interest-rate model with jumps for uncertain financial markets

Author

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  • Yu, Suisheng
  • Ning, Yufu

Abstract

The interest rate in the ideal market involving human uncertainty is usually described by uncertain differential equations. Considering the fluctuations and sudden shocks in the market, this paper proposes an interest rate model by means of uncertain differential equations with jumps. A formula to calculate the price of a zero-coupon bond is derived for the interest rate model, which is of a very complex form. To calculate the price numerically, an algorithm is designed, and the effectiveness and the efficiency of the algorithm are illustrated via some numerical experiments.

Suggested Citation

  • Yu, Suisheng & Ning, Yufu, 2019. "An interest-rate model with jumps for uncertain financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 527(C).
    • Handle: RePEc:eee:phsmap:v:527:y:2019:i:c:s0378437119308283
    DOI: 10.1016/j.physa.2019.121424
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    Cited by:

    1. Jia, Lifen & Liu, Xueyong, 2021. "Optimal harvesting strategy based on uncertain logistic population model," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).

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