Matches in SemOpenAlex for { <https://semopenalex.org/work/W2071549197> ?p ?o ?g. }
Showing items 1 to 61 of
61
with 100 items per page.
- W2071549197 abstract "This paper develops a new version of the Hull-White's model of interest rates, in which the volatility of the short term rate is driven by a Markov switching multifractal model. The interest rate dynamics is still mean reverting but the constant volatility of the Brownian motion is replaced by a multifractal process so as to capture persistent volatility shocks. In this setting, we infer properties of the short term rate distribution, a semi closed form expression for bond prices and their dynamics under a forward measure. Finally, our work is illustrated by a numerical application in which we assess the exposure of a bonds portfolio to the interest risk." @default.
- W2071549197 created "2016-06-24" @default.
- W2071549197 creator A5067555843 @default.
- W2071549197 date "2012-01-01" @default.
- W2071549197 modified "2023-09-23" @default.
- W2071549197 title "A Fractal Version of the Hull-White Interest Rate Model" @default.
- W2071549197 cites W3122155586 @default.
- W2071549197 doi "https://doi.org/10.2139/ssrn.2071758" @default.
- W2071549197 hasPublicationYear "2012" @default.
- W2071549197 type Work @default.
- W2071549197 sameAs 2071549197 @default.
- W2071549197 citedByCount "0" @default.
- W2071549197 crossrefType "journal-article" @default.
- W2071549197 hasAuthorship W2071549197A5067555843 @default.
- W2071549197 hasConcept C104317684 @default.
- W2071549197 hasConcept C111368507 @default.
- W2071549197 hasConcept C121332964 @default.
- W2071549197 hasConcept C121864883 @default.
- W2071549197 hasConcept C127313418 @default.
- W2071549197 hasConcept C134306372 @default.
- W2071549197 hasConcept C149782125 @default.
- W2071549197 hasConcept C185592680 @default.
- W2071549197 hasConcept C33923547 @default.
- W2071549197 hasConcept C37423430 @default.
- W2071549197 hasConcept C40636538 @default.
- W2071549197 hasConcept C55493867 @default.
- W2071549197 hasConcept C56273599 @default.
- W2071549197 hasConcept C91602232 @default.
- W2071549197 hasConcept C93246554 @default.
- W2071549197 hasConceptScore W2071549197C104317684 @default.
- W2071549197 hasConceptScore W2071549197C111368507 @default.
- W2071549197 hasConceptScore W2071549197C121332964 @default.
- W2071549197 hasConceptScore W2071549197C121864883 @default.
- W2071549197 hasConceptScore W2071549197C127313418 @default.
- W2071549197 hasConceptScore W2071549197C134306372 @default.
- W2071549197 hasConceptScore W2071549197C149782125 @default.
- W2071549197 hasConceptScore W2071549197C185592680 @default.
- W2071549197 hasConceptScore W2071549197C33923547 @default.
- W2071549197 hasConceptScore W2071549197C37423430 @default.
- W2071549197 hasConceptScore W2071549197C40636538 @default.
- W2071549197 hasConceptScore W2071549197C55493867 @default.
- W2071549197 hasConceptScore W2071549197C56273599 @default.
- W2071549197 hasConceptScore W2071549197C91602232 @default.
- W2071549197 hasConceptScore W2071549197C93246554 @default.
- W2071549197 hasLocation W20715491971 @default.
- W2071549197 hasOpenAccess W2071549197 @default.
- W2071549197 hasPrimaryLocation W20715491971 @default.
- W2071549197 hasRelatedWork W1530332960 @default.
- W2071549197 hasRelatedWork W1639368660 @default.
- W2071549197 hasRelatedWork W1977491459 @default.
- W2071549197 hasRelatedWork W2007769055 @default.
- W2071549197 hasRelatedWork W2009451203 @default.
- W2071549197 hasRelatedWork W2042875636 @default.
- W2071549197 hasRelatedWork W2048263551 @default.
- W2071549197 hasRelatedWork W3043993620 @default.
- W2071549197 hasRelatedWork W4235829476 @default.
- W2071549197 hasRelatedWork W2463257186 @default.
- W2071549197 isParatext "false" @default.
- W2071549197 isRetracted "false" @default.
- W2071549197 magId "2071549197" @default.
- W2071549197 workType "article" @default.