Methoden vergelijken
Bekijk de geselecteerde methoden naast elkaar; rijen die verschillen zijn gemarkeerd.
| Rente-modellen (Vasicek, CIR, Nelson-Siegel)× | Merton Jump-Diffusion Model× | |
|---|---|---|
| Vakgebied | Financiering | Financiering |
| Familie | Regression model | Regression model |
| Jaar van ontstaan≠ | 1977 | 1976 |
| Grondlegger≠ | Vasicek (1977); Nelson & Siegel (1987) | Robert C. Merton |
| Type≠ | Term-structure / short-rate model | Continuous-time asset price model (diffusion plus Poisson jumps) |
| Oorspronkelijke bron≠ | 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 ↗ |
| Aliassen≠ | term structure models, short-rate models, yield curve models, Vasicek model | Merton jump-diffusion, jump-diffusion process, Atlama Difüzyon Modeli (Merton Jump-Diffusion) |
| Verwant≠ | 5 | 4 |
| Samenvatting≠ | 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. |
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