A BSDE approach for bond pricing under interest rate models with self-exciting jumps

Authors :: Zhongyang Sun
Xin Zhang
Ya-Nan Li
Source :: Communications in Statistics - Theory and Methods. 50:3249-3261
Publication Year :: 2019
Publisher :: Informa UK Limited, 2019.
Abstract: In this article, we consider zero-coupon bond pricing problems for the stochastic interest rate model with clustering effects of self-exciting jumps. We first develop the evolution of the interest ...

Subjects :: Statistics and Probability
Bond valuation
Short-rate model
media_common.quotation_subject
Econometrics
Marked point process
Cluster analysis
Mathematics
Interest rate
media_common

Full Text Access

Tools