Alpha-CIR model with branching processes in sovereign interest rate modeling
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DOI: 10.1007/s00780-017-0333-7
Abstract: We introduce a class of interest rate models, called the α$\alpha$-CIR model, which is a natural extension of the standard CIR model by adding a jump part driven by α$\alpha$-stable Lévy processes with index α∈(1,2]$\alpha\in(1,2]$.… read more here.
Keywords: interest rate; model; alpha cir; cir model ... See more keywords