Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates
Author
Abstract
Suggested Citation
DOI: 10.1088/1469-7688/3/3/305
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Bronka Rzepkowski, 2002. "Heterogeneous expectations, currency options and the euro/dollar," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 147-157.
- Melick, William R. & Thomas, Charles P., 1997. "Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(1), pages 91-115, March.
- Y. Samuelides & E. Nahum, 2001. "A tractable market model with jumps for pricing short-term interest rate derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 270-283.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Olga Yashkir & Yuri Yashkir, 2014. "Overnight Index Rate: Model, calibration and simulation," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-11, December.
- Yashkir, Yuriy & Yashkir, Olga, 2013. "Overnight Index Rate: Model, Calibration, and Simulation," MPRA Paper 47574, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Yashkir, Olga & Yashkir, Yuriy, 2003. "Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates," MPRA Paper 46391, University Library of Munich, Germany.
- Narayan, Paresh Kumar & Sharma, Susan Sunila, 2011. "New evidence on oil price and firm returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3253-3262.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006.
"Pricing and Inference with Mixtures of Conditionally Normal Processes,"
Working Papers
2006-28, Center for Research in Economics and Statistics.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
- Mr. Shaun K. Roache & Mrs. Marina V Rousset, 2013. "Unconventional Monetary Policy and Asset Price Risk," IMF Working Papers 2013/190, International Monetary Fund.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Chen, Ren-Raw & Hsieh, Pei-lin & Huang, Jeffrey, 2018. "Crash risk and risk neutral densities," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 162-189.
- Algieri, Bernardina & Leccadito, Arturo & Tunaru, Diana, 2021. "Risk premia in electricity derivatives markets," Energy Economics, Elsevier, vol. 100(C).
- Irving Fisher Committee, 2003. "Proceedings of the IFC Conference on "Challenges to Central Bank Statistical Activities", Basel, August 2002," IFC Bulletins, Bank for International Settlements, number 14.
- Hu, Yuan & Lindquist, W. Brent & Rachev, Svetlozar T. & Shirvani, Abootaleb & Fabozzi, Frank J., 2022. "Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
- Shi-jie Jiang & Mujun Lei & Cheng-Huang Chung, 2018. "An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution," Sustainability, MDPI, vol. 10(6), pages 1-17, June.
- Julien Chevallier & Benoît Sévi, 2013.
"A Fear Index to Predict Oil Futures Returns,"
Working Papers
2013.62, Fondazione Eni Enrico Mattei.
- Julien Chevallier & Benoit Sevi, 2014. "A fear index to predict oil futures returns," Working Papers 2014-333, Department of Research, Ipag Business School.
- Julien, Chevallier & Sévi, Benoît, 2013. "A Fear Index to Predict Oil Futures Returns," Energy: Resources and Markets 156489, Fondazione Eni Enrico Mattei (FEEM).
- Julien Chevallier & Benoît Sévi, 2014. "A fear index to predict oil futures returns," Post-Print hal-01463111, HAL.
- Campa, Jose M. & Chang, P. H. Kevin & Reider, Robert L., 1998. "Implied exchange rate distributions: evidence from OTC option markets1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 117-160, February.
- Bronka Rzepkowski, 2002. "Heterogeneous expectations, currency options and the euro/dollar," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 147-157.
- Shane Barratt & Jonathan Tuck & Stephen Boyd, 2020. "Convex Optimization Over Risk-Neutral Probabilities," Papers 2003.02878, arXiv.org.
- Maria de Fátima Silva & José Monteiro, 2000. "Information on inflation expectations contained in the prices of financial assets," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
- Giacomini, Raffaella & Gottschling, Andreas & Haefke, Christian & White, Halbert, 2008.
"Mixtures of t-distributions for finance and forecasting,"
Journal of Econometrics, Elsevier, vol. 144(1), pages 175-192, May.
- Giacomini, Raffaella & Gottschling, Andreas & Haefke, Christian & White, Halbert, 2007. "Mixtures of t-distributions for Finance and Forecasting," Economics Series 216, Institute for Advanced Studies.
- Xin Liu, 2016. "Asset Pricing with Random Volatility," Papers 1610.01450, arXiv.org, revised Sep 2018.
- Rompolis, Leonidas S., 2010. "Retrieving risk neutral densities from European option prices based on the principle of maximum entropy," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 918-937, December.
- repec:wyi:journl:002108 is not listed on IDEAS
- Mondher Bellalah & Marc Lavielle, 2002. "A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 99-130, June.
- John B. Carlson & Ben R. Craig & William R. Melick, 2005.
"Recovering market expectations of FOMC rate changes with options on federal funds futures,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(12), pages 1203-1242, December.
- John B. Carlson & Ben R. Craig & William R. Melick, 2005. "Recovering market expectations of FOMC rate changes with options on federal funds futures," Working Papers (Old Series) 0507, Federal Reserve Bank of Cleveland.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:3:y:2003:i:3:p:195-200. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.