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Numerical approximation of hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
Emmanuel Coffie
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 sp…
Sensitivity Analysis with respect to a Stock Price Model with Rough Volatility via a Bismut-Elworthy-Li Formula for Singular SDEs
Emmanuel Coffie, Sindre Duedahl, Frank Proske
In this paper, we show the existence of unique Malliavin differentiable solutions to SDE`s driven by a fractional Brownian motion with Hurst parameter H<1/2 and singular, unbounded…
Delay stochastic interest rate model with jump and strong convergence in Monte Carlo simulations
Emmanuel Coffie
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 hav…
Thiele's Differential Equation Based on Markov Jump Processes with Non-countable State Space
Emmanuel Coffie, Sindre Duedahl, Frank Proske
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 stat…