Corpus ID: 235765821

Numerical approximation of hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay

  title={Numerical approximation of hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay},
  author={E. Coffie},
While the original Ait-Sahalia interest rate model has been found considerable use as a model for describing time series evolution of interest rates, it may not possess adequate specifications to explain responses of interest rates to empirical phenomena such as volatility ’skews’ and ’smiles’, jump behaviour, market regulatory lapses, economic crisis, financial clashes, political instability, among others collectively. The aim of this paper is to propose a modified version of this model by… Expand

Figures from this paper


Stability of Stochastic Delay Hybrid Systems with Jumps
This study investigates sufficient conditions for stability of delay jump diffusion processes in the sense of almost sure stability, stability in distribution, and exponential stability in meanExpand
Truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest rate model with delay
The original Ait-Sahalia model of the spot interest rate proposed by Ait-Sahalia assumes constant volatility. As supported by several empirical studies, volatility is never constant in most financialExpand
Delay stochastic interest rate model with jump and strong convergence in Monte Carlo simulations
In this paper, we study analytical properties of the solutions to the generalised delay AitSahalia-type interest rate model with Poisson-driven jump. Since this model does not have explicit solution,Expand
Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay
It is justified that the truncated EM approximate solution can be used within a Monte Carlo scheme for numerical valuations of some financial instruments such as options and bonds. Expand
The truncated EM method for stochastic differential equations with Poisson jumps
The truncated Euler–Maruyama (EM) method is used to study the finite time strong convergence for SDEs with Poisson jumps under the Khasminskii-type condition and it is shown that the optimal L r - convergence order is close to 1. Expand
A delayed stochastic volatility correction to the constant elasticity of variance model
The Black-Scholes model does not account non-Markovian property and volatility smile or skew although asset price might depend on the past movement of the asset price and real market data can find aExpand
Option Pricing Under Jump-Diffusion Processes with Regime Switching
We study an incomplete market model, based on jump-diffusion processes with parameters that are switched at random times. The set of equivalent martingale measures is determined. An analogue of theExpand
Stochastic Differential Equations And Applications
The stochastic differential equations and applications is universally compatible with any devices to read, and an online access to it is set as public so you can get it instantly. Expand
Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
In this paper we consider a generalized Ait-Sahalia interest rate model. We first extend the space of admissible parameters that ensures the existence of a unique positive solution to the model.Expand
The truncated Euler-Maruyama method for stochastic differential equations
  • X. Mao
  • Computer Science, Mathematics
  • J. Comput. Appl. Math.
  • 2015
This paper develops a new explicit method, called the truncated EM method, for the nonlinear SDE, and establishes the strong convergence theory under the local Lipschitz condition plus the Khasminskii-type condition. Expand