HU Shaoyong, CHEN Shouting. On the Stationary Property of a Reflected Cox-Ingersoll-Ross Interest Rate Model Driven by a Levy Process[J]. Chinese Journal of Applied Probability and Statistics, 2016, 32(3): 290-300.
Citation: HU Shaoyong, CHEN Shouting. On the Stationary Property of a Reflected Cox-Ingersoll-Ross Interest Rate Model Driven by a Levy Process[J]. Chinese Journal of Applied Probability and Statistics, 2016, 32(3): 290-300.

On the Stationary Property of a Reflected Cox-Ingersoll-Ross Interest Rate Model Driven by a Levy Process

  • Brownian motion and normal distribution have been widely used in Cox-Ingersoll-Ross interest rate framework to model the instantaneous interest rate dynamics. However, empirical studies have also shown that the return distribution of interest rate has a higher peak and two fatter tails than those of the normal distribution. Meanwhile, when the rare catastrophic shocks occur or the regime shifts in the economy and finance, the money market may have jumps. In this paper, we will consider a class of reflected Cox-Ingersoll-Ross interest rate models with noise. Furthermore, we shall continue to supply the Laplace transform of the stationary distribution about this reflected diffusion process with jumps.
  • loading

Catalog

    Turn off MathJax
    Article Contents

    /

    DownLoad:  Full-Size Img  PowerPoint
    Return
    Return