Lévy Interest Rate Models with a Long Memory
This article proposes an interest rate model ruled by mean reverting Lévy processes with a sub-exponential memory of their sample path. This feature is achieved by considering an Ornstein–Uhlenbeck process in which the exponential decaying kernel is replaced by a Mittag–Leffler function. Based on a...
Main Author: | Donatien Hainaut |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-12-01
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Series: | Risks |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-9091/10/1/2 |
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