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Alpha-CIR model with branching processes in sovereign interest rate modeling · Study

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ArticleAlpha-CIR model with branching processes in sovereign interest rate modeling

Ying Jiao2017

Article2017

Alpha-CIR model with branching processes in sovereign interest rate modeling

Ying Jiao · Chunhua Ma · Simone Scotti

59 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1985A Theory of the Term Structure of Interest Rates 2003Affine processes and applications in finance 2001Risk and Valuation of Collateralized Debt Obligations 2015Modeling financial contagion using mutually exciting jump processes 2010Affine Point Processes and Portfolio Credit Risk 2009Term-Structure Models 2001Approximations of small jumps of Lévy processes with a view towards simulation 1986The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates

Cited by

2018A branching process approach to power markets 2021The Alpha‐Heston stochastic volatility model 2019A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process 2021A self‐exciting modeling framework for forward prices in power markets

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Year2017

Typearticle

Published2017-06-07

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations59

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-017-0333-7

openalex_workW4296979416

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