Inference in a Non-Homogeneous Vasicek Type Model

Giuseppina Albano () and Virginia Giorno ()
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Giuseppina Albano: University of Salerno
Virginia Giorno: University of Salerno

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 13-17 from Springer

Abstract: Abstract In the paper we propose a stochastic model, based on a Vasicek non-homogeneous diffusion process, in which the trend coefficient and the volatility are deterministic time-dependent functions. The stochastic inference based on discrete sampling in time is established using a methodology based on the moments of the stochastic process. In order to evaluate the goodness of the proposed methodology a simulation study is discussed.

Keywords: Non-homogeneous diffusion; Conditional moments; Estimation procedure (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_3

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DOI: 10.1007/978-3-319-89824-7_3

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