Hainaut, Donatien - In: Risks 10 (2021) 1, pp. 1-28
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...