- A new approach to forecast market interest rates through the CIR model
2019/09/20 by Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo · 3 citations
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Monetary Policy and Economic Impact #Autoregressive integrated moving average #Interest rate #Econometrics #Volatility (finance) #Autoregressive model #Brownian motion #Mathematics #Variance (accounting) #Market data #Cox–Ingersoll–Ross model #Economics #Statistics #Time series #Finance
- Interest rates calibration with a CIR model
2019/08/19 by Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo · 1 citation
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Monetary Policy and Economic Impact #Financial Risk and Volatility Modeling #Vasicek model #Interest rate #Cox–Ingersoll–Ross model #Econometrics #Yield curve #Calibration #Market data #Monte Carlo method #Computer science #Economics #Statistics #Mathematics #Finance
- LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
2002/06/01 by Damiano Brigo, Fabio Mercurio · 3 citations
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Complex Systems and Time Series Analysis #Log-normal distribution #Volatility (finance) #Econometrics #Asset (computer security) #Stochastic volatility #Market data #Volatility smile #Calibration #Implied volatility #Probability density function #Statistical physics #Mathematics #Economics #Computer science #Statistics #Physics