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Chan–Karolyi–Longstaff–Sanders process

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In their original paper, CKLS argued that the elasticity of interest rate volatility is 1.5 based on historical data, a result that has been widely cited. Also, they showed that models with
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between 1979 and 1982. They have found evidence supporting the square root Cox-Ingersoll-Ross model (CIR SR), a special case of the CKLS model with
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Bliss, Robert R.; Smith, David C. (1998-03-01). "The Elasticity of Interest Rate Volatility: Chan, Karolyi, Longstaff, and Sanders Revisited".
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are special cases of the CKLS process which can be obtained by setting the CKLS model parameters to specific values. In all cases,
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values. Moreover, by redefining the regime period, Bliss and Smith have shown that there is evidence for regime shift in the
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One question studied in the literature is how to set the model parameters, in particular the elasticity parameter
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Dinenis, E.; Allegretto, W.; Sorwar, G.; N, Quaderno; Barone-adesi, Giovanni; Dinenis, Elias; Sorwar, Ghulam,
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values (like 0.5) in the CKLS model can capture volatility dependence more accurately compared to higher
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Koedijk, Kees G.; Nissen, François G. J. A.; Schotman, Peter C.; Wolff, Christian C. P. (1997-04-01).
1328: 1273: 1234: 1161: 1070:"Central limit theorem and moderate deviation principle for CKLS model with small random perturbation" 1069: 2858: 2848: 2624: 2425: 2339: 2324: 2255: 1831: 1714: 1612: 1204:"Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates" 658: 393: 1272:
Sikora, Grzegorz; Michalak, Anna; Bielak, Łukasz; Miśta, Paweł; Wyłomańska, Agnieszka (2019-06-01).
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Kokabisaghi, Somayeh; Pauwels, Eric J.; Van Meulder, Katrien; Dorsman, André B. (2018-09-02).
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Chan, K. C.; Karolyi, G. Andrew; Longstaff, Francis A.; Sanders, Anthony B. (July 1992).
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Later empirical studies by Bliss and Smith have shown the reverse: sometimes lower
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and deviation principle for the CKLS model while studying its asymptotic behavior.
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CKLS has been referred to as a time-homogeneous model as usually the parameters
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The CKLS process is often used to model interest rate dynamics and pricing of
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Generalized autoregressive conditional heteroskedasticity (GARCH) model
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Tangman, D. Y.; Thakoor, N.; Dookhitram, K.; Bhuruth, M. (2011-12-01).
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Dell'Aquila, Rosario; Ronchetti, Elvezio; Trojani, Fabio (2003-05-01).
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Mishura, Yuliya; Ralchenko, Kostiantyn; Dehtiar, Olena (2022-05-01).
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Family of CKLS process under different parametric specifications.
319:{\displaystyle dX_{t}=-k(X_{t}-a)dt+\sigma X_{t}^{\gamma }dW_{t}} 44:. The CKLS process can also be viewed as a generalization of the 33: 1433:"Parameter estimation in CKLS model by continuous observations" 1232: 1159: 1235:"Fast approximations of bond option prices under CKLS models" 1118:"Time-Dependent Diffusion Models for Term Structure Dynamics" 769: 222:. The CKLS process has the following equivalent definition: 1368:
Valuation of Derivatives Based on CKLS Interest Rate Models
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Autoregressive conditional heteroskedasticity (ARCH) model
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Independent and identically distributed random variables
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Autoregressive integrated moving average (ARIMA) model
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Physica A: Statistical Mechanics and Its Applications
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It has also been used in the pricing of 1448: 1407: 1375: 1068:Cai, Yujie; Wang, Shaochen (2015-03-01). 1041: 993: 723: 1580: 474:The CKLS has also been referred to as a 1067: 418:Nonlinear partial differential equation 2836: 2411:Doob's martingale convergence theorems 1201: 22:Chan–Karolyi–Longstaff–Sanders process 2163:Constant elasticity of variance (CEV) 2153:Chan–Karolyi–Longstaff–Sanders (CKLS) 1554: 1437:Statistics & Probability Letters 1197: 1195: 1155: 1153: 1151: 1107: 1105: 1103: 1074:Statistics & Probability Letters 1063: 1061: 1019: 1017: 971: 969: 967: 396:at a critical moment independent of 385:{\displaystyle X_{t}^{2(1-\gamma )}} 801:nonparametric estimation techniques 426:Cai and Wang (2015) have derived a 13: 2650:Skorokhod's representation theorem 2431:Law of large numbers (weak/strong) 1220:10.1111/j.1540-6261.1997.tb01127.x 995:10.1111/j.1540-6261.1992.tb04011.x 14: 2915: 2844:Stochastic differential equations 2620:Martingale representation theorem 1192: 1148: 1112:Fan, Jianqing; Jiang, Jiancheng; 1100: 1058: 1014: 964: 836:more accurately than models with 764:and has been combined with other 471:are taken to be time-independent. 2665:Stochastic differential equation 2555:Doob's optional stopping theorem 2550:Doob–Meyer decomposition theorem 1202:Nowman, K. B. (September 1997). 486: 85:stochastic differential equation 2535:Convergence of random variables 2421:Fisher–Tippett–Gnedenko theorem 1528: 1481: 1424: 1383: 1359: 1320: 2133:Binomial options pricing model 1494:Asia-Pacific Financial Markets 1265: 1226: 377: 365: 273: 254: 135: 113: 1: 2600:Kolmogorov continuity theorem 2436:Law of the iterated logarithm 1345:10.1016/S1057-5219(99)00019-8 1178:10.1016/S0927-5398(02)00050-6 957: 825:{\displaystyle \gamma \geq 1} 329: 51: 2605:Kolmogorov extension theorem 2284:Generalized queueing network 1792:Interacting particle systems 1166:Journal of Empirical Finance 855:{\displaystyle \gamma <1} 83:is defined by the following 7: 1737:Continuous-time random walk 1298:10.1016/j.physa.2019.04.098 936:{\displaystyle \gamma =1/2} 519:is assumed to be positive. 10: 2920: 2745:Extreme value theory (EVT) 2545:Doob decomposition theorem 1837:Ornstein–Uhlenbeck process 1608:Chinese restaurant process 663:Black–Scholes–Merton model 629:CIR or square root process 343:moment-generating function 46:Ornstein–Uhlenbeck process 2813: 2717: 2625:Optional stopping theorem 2522: 2484: 2426:Large deviation principle 2393: 2307: 2264: 2231: 2178:Heath–Jarrow–Morton (HJM) 2123: 2115:Moving-average (MA) model 2100:Autoregressive (AR) model 2080: 1990: 1925:Hidden Markov model (HMM) 1907: 1859:Schramm–Loewner evolution 1663: 1588: 1459:10.1016/j.spl.2022.109391 1251:10.1016/j.frl.2011.03.002 1086:10.1016/j.spl.2014.11.017 834:short-term interest rates 659:Geometric Brownian motion 2854:Variants of random walks 2540:Doléans-Dade exponential 2370:Progressively measurable 2168:Cox–Ingersoll–Ross (CIR) 1239:Finance Research Letters 1116:; Zhou, Zhenwei (2003). 335:CKLS is an example of a 2864:Financial risk modeling 2760:Mathematical statistics 2750:Large deviations theory 2580:Infinitesimal generator 2441:Maximal ergodic theorem 2360:Piecewise-deterministic 1962:Random dynamical system 1827:Markov additive process 1506:10.1023/A:1010013604561 1409:10.1023/A:1009714314989 898:{\displaystyle \gamma } 878:{\displaystyle \gamma } 788:{\displaystyle \gamma } 738:currency exchange rates 585:{\displaystyle \gamma } 543:{\displaystyle \alpha } 512:{\displaystyle \sigma } 409:{\displaystyle \gamma } 2595:Karhunen–Loève theorem 2530:Cameron–Martin formula 2494:Burkholder–Davis–Gundy 1889:Variance gamma process 1208:The Journal of Finance 982:The Journal of Finance 937: 899: 879: 856: 826: 789: 724:Financial applications 586: 565: 564:{\displaystyle \beta } 544: 513: 465: 410: 386: 337:mean-reverting process 327: 320: 212: 189: 182: 77: 2894:Fixed income analysis 2879:Derivatives (finance) 2725:Actuarial mathematics 2687:Uniform integrability 2682:Stratonovich integral 2610:Lévy–Prokhorov metric 2514:Marcinkiewicz–Zygmund 2401:Central limit theorem 2003:Gaussian random field 1832:McKean–Vlasov process 1752:Dyson Brownian motion 1613:Galton–Watson process 938: 900: 880: 857: 827: 790: 587: 566: 545: 514: 466: 428:central limit theorem 411: 387: 321: 224: 213: 211:{\displaystyle W_{t}} 183: 89: 78: 76:{\displaystyle X_{t}} 32:with applications to 2800:Time series analysis 2755:Mathematical finance 2640:Reflection principle 1967:Regenerative process 1767:Fleming–Viot process 1582:Stochastic processes 913: 889: 869: 840: 810: 779: 678:Brennan and Schwartz 576: 555: 534: 503: 437: 400: 349: 229: 195: 94: 60: 2795:Stochastic analysis 2635:Quadratic variation 2630:Prokhorov's theorem 2565:Feynman–Kac formula 2035:Markov random field 1683:Birth–death process 1290:2019PhyA..523.1202S 1043:10.3390/ijfs6030076 524: 381: 302: 164: 2765:Probability theory 2645:Skorokhod integral 2615:Malliavin calculus 2198:Korn-Kreer-Lenssen 2082:Time series models 2045:Pitman–Yor process 933: 895: 875: 852: 822: 785: 582: 561: 540: 522: 509: 461: 406: 382: 352: 316: 288: 208: 178: 150: 73: 30:stochastic process 2904:Short-rate models 2899:Stochastic models 2884:Equity securities 2874:Options (finance) 2831: 2830: 2785:Signal processing 2504:Doob's upcrossing 2499:Doob's martingale 2463:Engelbert–Schmidt 2406:Donsker's theorem 2340:Feller-continuous 2208:Rendleman–Bartter 1998:Dirichlet process 1915:Branching process 1884:Telegraph process 1777:Geometric process 1757:Empirical process 1747:Diffusion process 1603:Branching process 1598:Bernoulli process 1396:Review of Finance 1122:Statistica Sinica 797:Robust statistics 754:contingent claims 721: 720: 497:short-rate models 56:The CKLS process 2911: 2859:Financial models 2849:Markov processes 2805:Machine learning 2692:Usual hypotheses 2575:Girsanov theorem 2560:Dynkin's formula 2325:Continuous paths 2233:Actuarial models 2173:Garman–Kohlhagen 2143:Black–Karasinski 2138:Black–Derman–Toy 2125:Financial models 1991:Fields and other 1920:Gaussian process 1869:Sigma-martingale 1673:Additive process 1575: 1568: 1561: 1552: 1551: 1545: 1544: 1532: 1526: 1525: 1485: 1479: 1478: 1452: 1428: 1422: 1421: 1411: 1387: 1381: 1380: 1379: 1363: 1357: 1356: 1324: 1318: 1317: 1269: 1263: 1262: 1230: 1224: 1223: 1214:(4): 1695–1706. 1199: 1190: 1189: 1157: 1146: 1145: 1109: 1098: 1097: 1065: 1056: 1055: 1045: 1021: 1012: 1009:Chan et al. 1992 1006: 1000: 999: 997: 988:(3): 1209–1227. 973: 942: 940: 939: 934: 929: 904: 902: 901: 896: 884: 882: 881: 876: 861: 859: 858: 853: 831: 829: 828: 823: 794: 792: 791: 786: 768:methods such as 591: 589: 588: 583: 570: 568: 567: 562: 549: 547: 546: 541: 525: 521: 518: 516: 515: 510: 476:one-factor model 470: 468: 467: 462: 415: 413: 412: 407: 391: 389: 388: 383: 380: 360: 325: 323: 322: 317: 315: 314: 301: 296: 266: 265: 244: 243: 217: 215: 214: 209: 207: 206: 187: 185: 184: 179: 177: 176: 163: 158: 134: 133: 109: 108: 82: 80: 79: 74: 72: 71: 24:(abbreviated as 2919: 2918: 2914: 2913: 2912: 2910: 2909: 2908: 2834: 2833: 2832: 2827: 2809: 2770:Queueing theory 2713: 2655:Skorokhod space 2518: 2509:Kunita–Watanabe 2480: 2446:Sanov's theorem 2416:Ergodic theorem 2389: 2385:Time-reversible 2303: 2266:Queueing models 2260: 2256:Sparre–Anderson 2246:Cramér–Lundberg 2227: 2213:SABR volatility 2119: 2076: 2028:Boolean network 1986: 1972:Renewal process 1903: 1852:Non-homogeneous 1842:Poisson process 1732:Contact process 1695:Brownian motion 1665:Continuous time 1659: 1653:Maximal entropy 1584: 1579: 1549: 1548: 1533: 1529: 1486: 1482: 1429: 1425: 1388: 1384: 1364: 1360: 1325: 1321: 1270: 1266: 1231: 1227: 1200: 1193: 1158: 1149: 1114:Zhang, Chunming 1110: 1101: 1066: 1059: 1022: 1015: 1007: 1003: 974: 965: 960: 952:Federal Reserve 948:monetary policy 925: 914: 911: 910: 907:Federal Reserve 890: 887: 886: 870: 867: 866: 841: 838: 837: 811: 808: 807: 780: 777: 776: 772:-class models. 726: 577: 574: 573: 556: 553: 552: 535: 532: 531: 504: 501: 500: 489: 480:Factor analysis 438: 435: 434: 401: 398: 397: 361: 356: 350: 347: 346: 332: 310: 306: 297: 292: 261: 257: 239: 235: 230: 227: 226: 202: 198: 196: 193: 192: 172: 168: 159: 154: 129: 125: 104: 100: 95: 92: 91: 67: 63: 61: 58: 57: 54: 12: 11: 5: 2917: 2907: 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256: 253: 250: 247: 242: 238: 234: 220:Wiener process 205: 201: 175: 171: 167: 162: 157: 153: 149: 146: 143: 140: 137: 132: 128: 124: 121: 118: 115: 112: 107: 103: 99: 70: 66: 53: 50: 42:interest rates 38:term structure 9: 6: 4: 3: 2: 2916: 2905: 2902: 2900: 2897: 2895: 2892: 2890: 2887: 2885: 2882: 2880: 2877: 2875: 2872: 2870: 2867: 2865: 2862: 2860: 2857: 2855: 2852: 2850: 2847: 2845: 2842: 2841: 2839: 2824: 2821: 2819: 2816: 2815: 2812: 2806: 2803: 2801: 2798: 2796: 2793: 2791: 2788: 2786: 2783: 2781: 2778: 2776: 2773: 2771: 2768: 2766: 2763: 2761: 2758: 2756: 2753: 2751: 2748: 2746: 2743: 2741: 2738: 2736: 2733: 2731: 2728: 2726: 2723: 2722: 2720: 2716: 2708: 2705: 2703: 2700: 2699: 2698: 2695: 2693: 2690: 2688: 2685: 2683: 2680: 2678: 2677:Stopping time 2675: 2671: 2668: 2667: 2666: 2663: 2661: 2658: 2656: 2653: 2651: 2648: 2646: 2643: 2641: 2638: 2636: 2633: 2631: 2628: 2626: 2623: 2621: 2618: 2616: 2613: 2611: 2608: 2606: 2603: 2601: 2598: 2596: 2593: 2591: 2588: 2586: 2583: 2581: 2578: 2576: 2573: 2571: 2568: 2566: 2563: 2561: 2558: 2556: 2553: 2551: 2548: 2546: 2543: 2541: 2538: 2536: 2533: 2531: 2528: 2527: 2525: 2521: 2515: 2512: 2510: 2507: 2505: 2502: 2500: 2497: 2495: 2492: 2491: 2489: 2487: 2483: 2476: 2472: 2468: 2467:Hewitt–Savage 2464: 2460: 2456: 2452: 2451:Zero–one laws 2449: 2447: 2444: 2442: 2439: 2437: 2434: 2432: 2429: 2427: 2424: 2422: 2419: 2417: 2414: 2412: 2409: 2407: 2404: 2402: 2399: 2398: 2396: 2392: 2386: 2383: 2381: 2378: 2376: 2373: 2371: 2368: 2366: 2363: 2361: 2358: 2356: 2353: 2351: 2348: 2346: 2343: 2341: 2338: 2336: 2333: 2331: 2328: 2326: 2323: 2321: 2318: 2316: 2313: 2312: 2310: 2306: 2300: 2297: 2295: 2292: 2290: 2287: 2285: 2282: 2280: 2277: 2275: 2272: 2271: 2269: 2267: 2263: 2257: 2254: 2252: 2249: 2247: 2244: 2242: 2239: 2238: 2236: 2234: 2230: 2224: 2221: 2219: 2216: 2214: 2211: 2209: 2206: 2204: 2201: 2199: 2196: 2194: 2191: 2189: 2186: 2184: 2181: 2179: 2176: 2174: 2171: 2169: 2166: 2164: 2161: 2159: 2156: 2154: 2151: 2149: 2148:Black–Scholes 2146: 2144: 2141: 2139: 2136: 2134: 2131: 2130: 2128: 2126: 2122: 2116: 2113: 2111: 2108: 2106: 2103: 2101: 2098: 2096: 2093: 2091: 2088: 2087: 2085: 2083: 2079: 2073: 2070: 2068: 2065: 2061: 2058: 2056: 2053: 2052: 2051: 2050:Point process 2048: 2046: 2043: 2041: 2038: 2036: 2033: 2029: 2026: 2024: 2021: 2020: 2019: 2016: 2014: 2011: 2009: 2008:Gibbs measure 2006: 2004: 2001: 1999: 1996: 1995: 1993: 1989: 1983: 1980: 1978: 1975: 1973: 1970: 1968: 1965: 1963: 1960: 1956: 1953: 1951: 1948: 1946: 1943: 1941: 1938: 1937: 1936: 1933: 1931: 1928: 1926: 1923: 1921: 1918: 1916: 1913: 1912: 1910: 1906: 1900: 1897: 1895: 1892: 1890: 1887: 1885: 1882: 1880: 1877: 1875: 1872: 1870: 1867: 1865: 1862: 1860: 1857: 1853: 1850: 1848: 1845: 1844: 1843: 1840: 1838: 1835: 1833: 1830: 1828: 1825: 1823: 1820: 1818: 1815: 1813: 1810: 1808: 1805: 1803: 1800: 1798: 1797:Itô diffusion 1795: 1793: 1790: 1788: 1785: 1783: 1780: 1778: 1775: 1773: 1772:Gamma process 1770: 1768: 1765: 1763: 1760: 1758: 1755: 1753: 1750: 1748: 1745: 1743: 1740: 1738: 1735: 1733: 1730: 1728: 1725: 1721: 1718: 1716: 1713: 1711: 1708: 1706: 1703: 1701: 1698: 1697: 1696: 1693: 1689: 1686: 1685: 1684: 1681: 1679: 1676: 1674: 1671: 1670: 1668: 1666: 1662: 1654: 1651: 1649: 1646: 1644: 1643:Self-avoiding 1641: 1639: 1636: 1635: 1634: 1631: 1629: 1628:Moran process 1626: 1624: 1621: 1619: 1616: 1614: 1611: 1609: 1606: 1604: 1601: 1599: 1596: 1595: 1593: 1591: 1590:Discrete time 1587: 1583: 1576: 1571: 1569: 1564: 1562: 1557: 1556: 1553: 1542: 1538: 1531: 1523: 1519: 1515: 1511: 1507: 1503: 1499: 1495: 1491: 1484: 1476: 1472: 1468: 1464: 1460: 1456: 1451: 1446: 1442: 1438: 1434: 1427: 1419: 1415: 1410: 1405: 1401: 1397: 1393: 1386: 1378: 1373: 1369: 1362: 1354: 1350: 1346: 1342: 1338: 1334: 1330: 1323: 1315: 1311: 1307: 1303: 1299: 1295: 1291: 1287: 1284:: 1202–1215. 1283: 1279: 1275: 1268: 1260: 1256: 1252: 1248: 1244: 1240: 1236: 1229: 1221: 1217: 1213: 1209: 1205: 1198: 1196: 1187: 1183: 1179: 1175: 1171: 1167: 1163: 1156: 1154: 1152: 1143: 1139: 1135: 1131: 1127: 1123: 1119: 1115: 1108: 1106: 1104: 1095: 1091: 1087: 1083: 1079: 1075: 1071: 1064: 1062: 1053: 1049: 1044: 1039: 1035: 1031: 1027: 1020: 1018: 1010: 1005: 996: 991: 987: 983: 979: 972: 970: 968: 963: 955: 953: 949: 944: 930: 926: 922: 919: 916: 908: 892: 872: 863: 849: 846: 843: 835: 819: 816: 813: 804: 802: 798: 782: 773: 771: 767: 763: 759: 755: 751: 747: 743: 739: 735: 731: 716: 713: 710: 708: 705: 704: 700: 697: 694: 691: 690: 686: 683: 680: 677: 676: 672: 669: 666: 664: 660: 657: 656: 652: 649: 646: 643: 642: 638: 635: 632: 630: 627: 626: 622: 619: 616: 614: 611: 610: 606: 603: 600: 598: 595: 594: 579: 572: 558: 551: 537: 530: 528:Model/Process 527: 526: 520: 506: 498: 494: 493:interest rate 487:Special cases 481: 477: 473: 458: 455: 452: 449: 446: 443: 440: 432: 429: 425: 422: 419: 403: 395: 374: 371: 368: 362: 357: 353: 344: 340: 338: 334: 333: 326: 311: 307: 303: 298: 293: 289: 285: 282: 279: 276: 270: 267: 262: 258: 251: 248: 245: 240: 236: 232: 223: 221: 203: 199: 188: 173: 169: 165: 160: 155: 151: 147: 144: 141: 138: 130: 126: 122: 119: 116: 110: 105: 101: 97: 88: 86: 68: 64: 49: 47: 43: 39: 35: 31: 27: 23: 19: 2735:Econometrics 2697:Wiener space 2585:Itô integral 2486:Inequalities 2375:Self-similar 2345:Gauss–Markov 2335:Exchangeable 2315:Càdlàg paths 2251:Risk process 2203:LIBOR market 2152: 2072:Random graph 2067:Random field 1879:Superprocess 1817:Lévy process 1812:Jump process 1787:Hunt process 1623:Markov chain 1530: 1497: 1493: 1483: 1440: 1436: 1426: 1399: 1395: 1385: 1367: 1361: 1336: 1332: 1322: 1281: 1277: 1267: 1242: 1238: 1228: 1211: 1207: 1169: 1165: 1125: 1121: 1077: 1073: 1033: 1029: 1004: 985: 981: 945: 864: 805: 774: 758:fixed income 744:, and other 734:bond options 727: 490: 225: 218:denotes the 190: 90: 55: 26:CKLS process 25: 21: 15: 2869:Credit risk 2780:Ruin theory 2718:Disciplines 2590:Itô's lemma 2365:Predictable 2040:Percolation 2023:Potts model 2018:Ising model 1982:White noise 1940:Differences 1802:Itô process 1742:Cox process 1638:Loop-erased 1633:Random walk 766:time series 762:credit risk 750:derivatives 495:models and 394:singularity 18:mathematics 2838:Categories 2790:Statistics 2570:Filtration 2471:Kolmogorov 2455:Blumenthal 2380:Stationary 2320:Continuous 2308:Properties 2193:Hull–White 1935:Martingale 1822:Local time 1710:Fractional 1688:pure birth 1450:2105.13724 1443:: 109391. 958:References 832:can model 742:securities 478:(also see 330:Properties 52:Definition 2702:Classical 1715:Geometric 1705:Excursion 1522:150454155 1514:1573-6946 1475:235248362 1467:0167-7152 1418:1572-3097 1372:CiteSeerX 1353:1057-5219 1314:149884892 1306:0378-4371 1259:1544-6123 1186:0927-5398 1134:1017-0405 1094:0167-7152 1052:2227-7072 1036:(3): 76. 917:γ 893:γ 873:γ 844:γ 817:≥ 814:γ 783:γ 580:γ 559:β 538:α 507:σ 459:γ 453:σ 447:β 441:α 404:γ 375:γ 372:− 345:(MGF) of 299:γ 286:σ 268:− 249:− 161:γ 148:σ 123:β 117:α 2823:Category 2707:Abstract 2241:Bühlmann 1847:Compound 1142:24307157 1080:: 6–11. 2330:Ergodic 2218:Vašíček 2060:Poisson 1720:Meander 1286:Bibcode 950:of the 746:options 613:Vasicek 34:finance 28:) is a 2670:Tanaka 2355:Mixing 2350:Markov 2223:Wilkie 2188:Ho–Lee 2183:Heston 1955:Super- 1700:Bridge 1648:Biased 1539:  1520:  1512:  1473:  1465:  1416:  1374:  1351:  1312:  1304:  1257:  1184:  1140:  1132:  1092:  1050:  752:, and 692:CIR VR 644:Dothan 597:Merton 392:has a 191:where 20:, the 2523:Tools 2299:M/M/c 2294:M/M/1 2289:M/G/1 2279:Fluid 1945:Local 1541:99894 1518:S2CID 1471:S2CID 1445:arXiv 1310:S2CID 1138:JSTOR 770:GARCH 730:bonds 491:Many 2475:Lévy 2274:Bulk 2158:Chen 1950:Sub- 1908:Both 1537:SSRN 1510:ISSN 1463:ISSN 1414:ISSN 1349:ISSN 1302:ISSN 1255:ISSN 1182:ISSN 1130:ISSN 1090:ISSN 1048:ISSN 847:< 799:and 760:and 717:Any 701:3/2 639:1/2 341:The 2055:Cox 1502:doi 1455:doi 1441:184 1404:doi 1341:doi 1294:doi 1282:523 1247:doi 1216:doi 1174:doi 1082:doi 1038:doi 990:doi 714:Any 707:CEV 684:Any 681:Any 670:Any 661:or 636:Any 633:Any 620:Any 617:Any 601:Any 40:of 16:In 2840:: 2473:, 2469:, 2465:, 2461:, 2457:, 1516:. 1508:. 1496:. 1492:. 1469:. 1461:. 1453:. 1439:. 1435:. 1412:. 1398:. 1394:. 1370:, 1347:. 1335:. 1331:. 1308:. 1300:. 1292:. 1280:. 1276:. 1253:. 1241:. 1237:. 1212:52 1210:. 1206:. 1194:^ 1180:. 1170:10 1168:. 1164:. 1150:^ 1136:. 1126:13 1124:. 1120:. 1102:^ 1088:. 1078:98 1076:. 1072:. 1060:^ 1046:. 1032:. 1028:. 1016:^ 986:47 984:. 980:. 966:^ 943:. 862:. 795:. 748:, 740:, 736:, 732:, 687:1 673:1 653:1 623:0 607:0 482:). 87:: 2477:) 2453:( 1574:e 1567:t 1560:v 1543:. 1524:. 1504:: 1498:6 1477:. 1457:: 1447:: 1420:. 1406:: 1400:1 1355:. 1343:: 1337:8 1316:. 1296:: 1288:: 1261:. 1249:: 1243:8 1222:. 1218:: 1188:. 1176:: 1144:. 1096:. 1084:: 1054:. 1040:: 1034:6 1011:. 998:. 992:: 931:2 927:/ 923:1 920:= 850:1 820:1 711:0 698:0 695:0 667:0 650:0 647:0 604:0 456:, 450:, 444:, 420:. 378:) 369:1 366:( 363:2 358:t 354:X 312:t 308:W 304:d 294:t 290:X 283:+ 280:t 277:d 274:) 271:a 263:t 259:X 255:( 252:k 246:= 241:t 237:X 233:d 204:t 200:W 174:t 170:W 166:d 156:t 152:X 145:+ 142:t 139:d 136:) 131:t 127:X 120:+ 114:( 111:= 106:t 102:X 98:d 69:t 65:X

Index

mathematics
stochastic process
finance
term structure
interest rates
Ornstein–Uhlenbeck process
stochastic differential equation
Wiener process
mean-reverting process
moment-generating function
singularity
Nonlinear partial differential equation
central limit theorem
one-factor model
Factor analysis
interest rate
short-rate models
Merton
Vasicek
CIR or square root process
Geometric Brownian motion
Black–Scholes–Merton model
CEV
bonds
bond options
currency exchange rates
securities
options
derivatives
contingent claims

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