Delay stochastic interest rate model with jump and strong convergence in Monte Carlo simulations
Risk Management
2021-07-13 v3
Abstract
In this paper, we study analytical properties of the solutions to the generalised delay Ait-Sahalia-type interest rate model with Poisson-driven jump. Since this model does not have explicit solution, we employ several new truncated Euler-Maruyama (EM) techniques to investigate finite time strong convergence theory of the numerical solutions under the local Lipschitz condition plus the Khasminskii-type condition. We justify the strong convergence result for Monte Carlo calibration and valuation of some debt and derivative instruments.
Keywords
Cite
@article{arxiv.2103.07651,
title = {Delay stochastic interest rate model with jump and strong convergence in Monte Carlo simulations},
author = {Emmanuel Coffie},
journal= {arXiv preprint arXiv:2103.07651},
year = {2021}
}
Comments
arXiv admin note: text overlap with arXiv:2107.03712