{"title":"Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay","authors":"Emmanuel Coffie","doi":"10.1080/15326349.2024.2305344","DOIUrl":null,"url":null,"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...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.5000,"publicationDate":"2024-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Stochastic Models","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/15326349.2024.2305344","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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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...
期刊介绍：
Stochastic Models publishes papers discussing the theory and applications of probability as they arise in the modeling of phenomena in the natural sciences, social sciences and technology. It presents novel contributions to mathematical theory, using structural, analytical, algorithmic or experimental approaches. In an interdisciplinary context, it discusses practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories and dams, reliability, storage, queueing theory, mathematical finance and operations research.
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