Bu, Ruijun; Giet, Ludovic; Hadri, Kaddour; Lubrano, Michel - HAL - 2009
We propose a new approach for modeling non-linear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of non-linear SDEs that are reducible to Ornstein-Uhlenbeck...