Autori
Petrella, Lea
Morelli, Giacomo

Titolo
On skewness in interest rates
Periodico
Università degli Studi di Roma "La Sapienza" - Dipartimento di metodi e modelli per l'economia il territorio e la finanza. Working papers
Anno: 2019 - Fascicolo: 162 - Pagina iniziale: 1 - Pagina finale: 10

This paper proposes a model for interest rates under a non-Gaussian assumption. We move from the unsuitability of the Brownian motion for modelling the path of interest rates and rather consider a stylized fact for financial quantities: skewness. In particular, we introduce and discuss a discrete time extension of the Vasicek model under a skew distribution. In this framework, a closed form formula for the unconditional dynamics of the interest rates is derived. Moreover, we compute the price for zero-coupon bond under skewness.




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