Coffie, Emmanuel
(2024)
Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay.
Stochastic Models, ahead- (ahead-).
pp. 1-0.
Abstract
Abstract.: While the original Ait-Sahalia interest rate model has been found to be of considerable use for describing the time-series evolution of interest rates, it may not possess adequate specifications to explain the responses of interest rates to empirical phenomena such as volatility skew-smile effect, jumps, market regulatory lapses, economic crises, financial clashes, and political instability, among others collectively. In this article, we propose a modified version of this model by incorporating additional features to help collectively describe these empirical phenomena adequately. Since the proposed model does not have a closed-form formula, we construct new techniques of the truncated EM method to study it and justify the method within a Monte Carlo framework to compute some financial quantities.
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Science and Engineering > School of Physical Sciences |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 25 Mar 2024 16:21 |
| Last Modified: | 25 Mar 2024 16:41 |
| DOI: | 10.1080/15326349.2024.2305344 |
| Open Access URL: | https://doi.org/10.1080/15326349.2024.2305344 |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3179899 |
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