Alpha-CIR model with branching processes in sovereign interest rate modeling.
Ying JiaoChunhua MaSimone ScottiPublished in: Finance Stochastics (2017)
Keyphrases
- computational model
- high level
- probabilistic model
- computational models
- parameter estimation
- theoretical framework
- evolutionary algorithm
- modeling framework
- feature selection
- modeling method
- model construction
- hybrid model
- formal model
- statistical model
- process model
- petri net
- markov random field
- management system
- probability distribution
- expert systems
- objective function
- case study