Ergodicity properties of affine term structure models and applications / von: Chiraz Trabelsi. Wuppertal, Juni 2016
Inhalt
- Leere Seite
- Short term Interest rate models
- Ergodic results on transformation of the CIR and application
- Affine and regularity properties
- Positive Harris recurrence
- Ergodicity results
- Application in one credit migration model
- Positive Harris recurrence, exponential ergodicity and calibration of the BAJD
- Characteristic function of the BAJD
- Mixtures of Bessel distributions
- Transition density of the BAJD
- Positive Harris recurrence of the BAJD
- Exponential ergodicity of the BAJD
- Calibration for the BAJD-process
- Exponential Ergodicity of the Jump-Diffusion CIR Process
- Characteristic function of the JCIR
- Lower bound for the transition densities of JCIR
- Exponential ergodicity of JCIR
- Non affine term structure models