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Model-free nonparametric bounds for zero-coupon interest rates in bond markets without the no arbitrage principle

Lapshin, Victor - In: Applied economics 54 (2022) 2, pp. 135-144

Persistent link: https://www.econbiz.de/10012873873

Control of price acceptability under the univariate Vasicek model

Dang-Nguyen, S.; Rakotondratsimba, Y. - In: International journal of financial engineering 3 (2016) 3, pp. 1-40

Persistent link: https://www.econbiz.de/10011587732

Unconventional monetary policy ante litteram : Richard Kahn and the monetary policy debate during the works of the Radcliffe Committee

Cristiano, Carlo; Paesani, Paolo - In: Cambridge journal of economics 42 (2018) 4, pp. 1145-1163

Persistent link: https://www.econbiz.de/10012051760

Modeling the interest rates term structure using Machine Learning : a Gaussian process regression approach

Delucchi, Alessio; Giribone, Pier Giuseppe - In: Risk management magazine 18 (2023) 3, pp. 16-35

The correct modeling of the interest rates term structure should definitely be considered an aspect of primary importance since the forward rates and the discount factors used in any financial and risk analysis are calculated from such structure. The turbulence of the markets in recent years,...

Persistent link: https://www.econbiz.de/10014491969

Lévy interest rate models with a long memory

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...

Persistent link: https://www.econbiz.de/10013200893