Você está aqui: Entrada Eventos Seminários do GFM Interest Rate Models, Large Deviations and the Doob Transform
Acções do Documento

Interest Rate Models, Large Deviations and the Doob Transform

Seminário do GFM
IIIUL, B1-01
2011-07-22 11:00 .. 12:00
Adicionar evento ao calendário:   vCal    iCal

by Robert Smits (New Mexico State University, USA)

In their fundamental work on the term structure, Cox, Ingersoll and Ross introduced a stochastic model to describe the short term dynamics of interest rates now known as the CIR model. Justifications for the model included its positivity, a steady-state distribution and an increase in the variance of the interest rate as the interest rate itself increases. Much later, Going-Jaeschke and Yor showed how the dynamics of the CIR model can be understood via a transformation of a generalized Bessel process and studied the large time behavior of the model. In this talk I discuss a family of stochastic processes, driven by Brownian motion together with a power law drift. In addition to the justifications for the CIR model, these models have a time to equilibrium with finite moments and variational arguments will yield the explicit, subexponential large deviation behavior.