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Numerical Method for Highly Non-linear Mean-reverting Asset Price Model with CEV-type Process
It is well documented from various empirical studies that the volatility process of an asset price dynamics is stochastic.
Numerical approximation of hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
While the original Ait-Sahalia interest rate model has been found considerable use as a model for describing time series evolution of interest rates, it may not possess adequate specifications to explain responses of interest rates to empirical phenomena such as volatility 'skews' and 'smiles', jump behaviour, market regulatory lapses, economic crisis, financial clashes, political instability, among others collectively.
Delay stochastic interest rate model with jump and strong convergence in Monte Carlo simulations
In this paper, we study analytical properties of the solutions to the generalised delay Ait-Sahalia-type interest rate model with Poisson-driven jump.
Thiele's Differential Equation Based on Markov Jump Processes with Non-countable State Space
In modern life insurance, Markov processes in continuous time on a finite or at least countable state space have been over the years an important tool for the modelling of the states of an insured.
