# Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation

@article{Perello2019StatisticalAA, title={Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation}, author={Josep Perell'o and Miquel Montero and Jaume Masoliver and J. Doyne Farmer and John Geanakoplos}, journal={arXiv: Mathematical Finance}, year={2019} }

High future discounting rates favor inaction on present expending while lower rates advise for a more immediate political action. A possible approach to this key issue in global economy is to take historical time series for nominal interest rates and inflation, and to construct then real interest rates and finally obtaining the resulting discount rate according to a specific stochastic model. Extended periods of negative real interest rates, in which inflation dominates over nominal rates, are… Expand

#### 3 Citations

Interest Rate Modelling in the Presence of Discontinuities and its Sensitivities

- Geology
- 2021

Abstract Interest rate paths experience discontinuities in the presence of certain factors. Much of the work on interest rate modelling has no consideration for effects of such unexpected occurrences… Expand

Jump-Diffusion Models for Valuing the Future: Discounting Under Extreme Situations

- Economics
- 2021

We develop the process of discounting when underlying rates follow a jump-diffusion process, that is, when, in addition to diffusive behavior, rates suffer a series of finite discontinuities located… Expand

Jump-Diffusion Models for Valuing the Future: Discounting under Extreme Situations

- Mathematics
- Mathematics
- 2021

We develop the process of discounting when underlying rates follow a jump-diffusion process, that is, when, in addition to diffusive behavior, rates suffer a series of finite discontinuities located… Expand

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