It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates. Moreover, the diffusion term in the rate dynamics goes to zero...

This paper investigates, by means of recurrence quantification analysis, the characteristics of trade cycles and economic development. Trade cycles are complex phenomena oscillating because of economic downturns and expansions. In this paper the features of the underlying dynamics are studied...

It is well known that the CIR model, as introduced in 1985, is inadequate for modelling the current market environment with negative short rates, r(t). Moreover, in the CIR model, the stochastic part goes to zero with the rates, neither volatility nor long term mean change with time, or fit with...

The aim of this paper is to propose a new methodology that allows forecasting, through Vasicek and CIR models, of future expected interest rates (for each maturity) based on rolling windows from observed financial market data. The novelty, apart from the use of those models not for pricing but...

The Black and Scholes call function is widely used for pricing and hedging. In this paper we present a new global approximating formula for the Black and Scholes call function that can be useful for deriving the risk of options i.e. the implied volatility. Lastly we compare, by numerical test,...

Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply risk-taking is physiological, as for a lot of human activities. Among risks related to credit inter-mediation, credit risk assumes particular importance. It is most simply defined as...

The purpose of this study is to suggest a new framework that we call the CIR#, which allows forecasting interest rates from observed financial market data even when rates are negative. In doing so, we have the objective is to maintain the market volatility structure as well as the analytical...

The purpose of this paper is to model interest rates from observed financial market data through a new approach to the Cox–Ingersoll–Ross (CIR) model. This model is popular among financial institutions mainly because it is a rather simple (uni-factorial) and better model than the former...

"The book offers an overview of credit risk modeling and management. A three-step approach is adopted with the contents, after introducing the essential concepts of both mathematics and finance. Initially the focus is on the modeling of credit risk parameters mainly at the level of individual...