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Dostęp zamkniętyOn CiR equations with general factors
| cris.lastimport.scopus | 2024-02-12T20:02:09Z |
| dc.abstract.en | The paper is concerned with stochastic equations for the short rate process R, dR(t) = F(R(t))dt+ G(R(t ))dZ(t), in the affine model of the bond prices. The equation is driven by a L\'evy martingale Z. It is shown that the discounted bond prices are local martingales if either Z is a stable process of index \alpha \in (1, 2], F(x) = ax+b, b \geq 0, G(x) = cx1/\alpha , c > 0, or Z must be a L\'evy martingale with positive jumps and trajectories of bounded variation, F(x) = ax+b, b \geq 0, and G is a constant. The result generalizes the well-known Cox--Ingersoll--Ross result from [I. Cox, J. Ingersoll, and S. Ross, Econometrica, 53 (2004), pp. 385--408] and extends the Vasi\v cek result (see [O. Vasi\v cek, J. Financial Econom., 5 (1977), pp. 177--188]) to nonnegative short rates. |
| dc.affiliation | Uniwersytet Warszawski |
| dc.contributor.author | Barski, Michał |
| dc.contributor.author | Zabczyk, Jerzy |
| dc.date.accessioned | 2024-01-25T15:44:54Z |
| dc.date.available | 2024-01-25T15:44:54Z |
| dc.date.issued | 2020 |
| dc.description.finance | Publikacja bezkosztowa |
| dc.description.number | 1 |
| dc.description.volume | 11 |
| dc.identifier.doi | 10.1137/19M1292771 |
| dc.identifier.issn | 1945-497X |
| dc.identifier.uri | https://repozytorium.uw.edu.pl//handle/item/114667 |
| dc.identifier.weblink | https://epubs.siam.org/doi/abs/10.1137/19M1292771 |
| dc.language | eng |
| dc.pbn.affiliation | mathemathics |
| dc.relation.ispartof | SIAM Journal on Financial Mathematics |
| dc.relation.pages | 131-147 |
| dc.rights | ClosedAccess |
| dc.sciencecloud | nosend |
| dc.subject.en | CIR model |
| dc.subject.en | bond market |
| dc.subject.en | HJM condition |
| dc.subject.en | stable martingales |
| dc.title | On CiR equations with general factors |
| dc.type | JournalArticle |
| dspace.entity.type | Publication |