# Numerical approximation of hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay

@inproceedings{Coffie2021NumericalAO, title={Numerical approximation of hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay}, author={E. Coffie}, year={2021} }

While the original Ait-Sahalia interest rate model has been found considerable use as a model for describing time series evolution of interest rates, it may not possess adequate specifications to explain responses of interest rates to empirical phenomena such as volatility ’skews’ and ’smiles’, jump behaviour, market regulatory lapses, economic crisis, financial clashes, political instability, among others collectively. The aim of this paper is to propose a modified version of this model by… Expand

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