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Alpha-CIR model with branching processes in sovereign interest rate modeling

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Cited by:

  1. repec:hal:wpaper:hal-03827332 is not listed on IDEAS
  2. Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019, January-A.
  3. Pingping Jiang & Bo Li & Yongjin Wang, 2020. "Exit Times, Undershoots and Overshoots for Reflected CIR Process with Two-Sided Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 693-710, June.
  4. M.E. Mancino & S. Scotti & G. Toscano, 2020. "Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data," Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(4), pages 288-316, July.
  5. Jianhai Bao & Jian Wang, 2023. "Coupling methods and exponential ergodicity for two‐factor affine processes," Mathematische Nachrichten, Wiley Blackwell, vol. 296(5), pages 1716-1736, May.
  6. Frikha, Noufel & Li, Libo, 2021. "Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs," Stochastic Processes and their Applications, Elsevier, vol. 132(C), pages 76-107.
  7. Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2018. "The Alpha-Heston Stochastic Volatility Model," Papers 1812.01914, arXiv.org.
  8. Alessandro Bondi & Sergio Pulido & Simone Scotti, 2022. "The rough Hawkes Heston stochastic volatility model," Papers 2210.12393, arXiv.org.
  9. Jiao, Ying & Ma, Chunhua & Scotti, Simone & Sgarra, Carlo, 2019. "A branching process approach to power markets," Energy Economics, Elsevier, vol. 79(C), pages 144-156.
  10. Alessandro Bondi & Sergio Pulido & Simone Scotti, 2024. "The rough Hawkes Heston stochastic volatility model," Post-Print hal-03827332, HAL.
  11. Fontana, Claudio & Gnoatto, Alessandro & Szulda, Guillaume, 2023. "CBI-time-changed Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 323-349.
  12. Micha{l} Barski & Rafa{l} {L}ochowski, 2024. "Affine term structure models driven by independent L\'evy processes," Papers 2402.07503, arXiv.org.
  13. Ingemar Kaj & Mine Caglar, 2017. "A buffer Hawkes process for limit order books," Papers 1710.03506, arXiv.org.
  14. Li, Libo & Taguchi, Dai, 2019. "On the Euler–Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 15-26.
  15. Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2021. "The Alpha‐Heston stochastic volatility model," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 943-978, July.
  16. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2022. "CBI-time-changed Lévy processes," Working Papers 05/2022, University of Verona, Department of Economics.
  17. Chen, Li & Ma, Yong & Xiao, Weilin, 2022. "Pricing defaultable bonds under Hawkes jump-diffusion processes," Finance Research Letters, Elsevier, vol. 47(PB).
  18. Mesias Alfeus & Kirsty Fitzhenry & Alessia Lederer, 2024. "Stochastic Default Risk Estimation Evidence from the South African Financial Market," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1715-1756, September.
  19. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed L\'evy processes for multi-currency modeling," Papers 2112.02440, arXiv.org, revised Jul 2022.
  20. Backwell, Alex & Hayes, Joshua, 2022. "Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition," Journal of Banking & Finance, Elsevier, vol. 145(C).
  21. Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2017. "Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations," Papers 1711.02140, arXiv.org, revised Feb 2019.
  22. repec:uts:finphd:41 is not listed on IDEAS
  23. Aur'elien Alfonsi & Guillaume Szulda, 2024. "On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients," Papers 2402.19203, arXiv.org, revised Jul 2024.
  24. Micha{l} Barski & Rafa{l} {L}ochowski, 2023. "Classification and calibration of affine models driven by independent L\'evy processes," Papers 2303.08477, arXiv.org.
  25. Riccardo Brignone & Carlo Sgarra, 2020. "Asian options pricing in Hawkes-type jump-diffusion models," Annals of Finance, Springer, vol. 16(1), pages 101-119, March.
  26. Kensuke Kato & Nobuhiro Nakamura, 2024. "PDE-Based Bayesian Inference of CEV Dynamics for Credit Risk in Stock Prices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(2), pages 389-421, June.
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