Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Modelos de tipos de interés (Vasicek, CIR, Nelson-Siegel)× | Modelo de salto-difusión de Merton× | |
|---|---|---|
| Campo | Finanzas | Finanzas |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1977 | 1976 |
| Autor original≠ | Vasicek (1977); Nelson & Siegel (1987) | Robert C. Merton |
| Tipo≠ | Term-structure / short-rate model | Continuous-time asset price model (diffusion plus Poisson jumps) |
| Fuente seminal≠ | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ | Merton, R. C. (1976). Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, 3(1–2), 125–144. DOI ↗ |
| Alias≠ | term structure models, short-rate models, yield curve models, Vasicek model | Merton jump-diffusion, jump-diffusion process, Atlama Difüzyon Modeli (Merton Jump-Diffusion) |
| Relacionados≠ | 5 | 4 |
| Resumen≠ | Interest rate models are structural models that describe how interest rates evolve over time within a stochastic differential equation framework. The family covers Vasicek's normal short-rate process (1977), the CIR square-root process, the adjustable Hull-White extension, and the Nelson-Siegel approach to fitting the yield curve (1987). | The Merton Jump-Diffusion model, introduced by Robert C. Merton in 1976, extends Geometric Brownian Motion by adding sudden price jumps generated by a Poisson process. It captures the volatility smile and the fat-tailed return behaviour that standard Black-Scholes cannot explain, and is widely used in option pricing and risk management. |
| ScholarGateConjunto de datos ↗ |
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