8 research outputs found

    Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates

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    Many financial products sensitive to daily rate changes dictate the importance of adequate modelling of short-term rates. Their intrinsic properties are investigated based on historical market data. A new short-term rate model with the non-Gaussian random driver and auto-correlation factors is introduced. Special calibration procedures for the model are presented. Short-term rate stochastic dynamics are investigated in several numerical experiments.

    Nonlinear Interactions of Light and Matter Without Absorption

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