Michał Barski

collaborators

2 papers

math.PR2024

On the reducibility of affine models with dependent Lévy factor

Michał Barski, Rafał Łochowski

The paper is devoted to the study of the short rate equation of the form $d R (t) = F (R (t)) d t + i = 1 \sum d G (R (t -)) d Z_{i} (t)$ with deterministic functions $F, G_{1}, ..., G_{d}$ and a mul…

math.PR2024

Affine term structure models driven by independent Lévy processes

Michał Barski, Rafał Łochowski

We characterize affine term structure models of non-negative short rate $R$ which may be obtained as solutions of autonomous SDEs driven by independent, one-dimensional Lévy martin…