Olivier Menoukeu Pamen:
Piecewise Binomial Lattices for Interest Rates under the Skew CEV and Vasicek Model

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The interest rates frequently exhibit regulated or controlled characteristics, for example, the prevailing zero interest rate policy, or the leading role of central banks in short rate markets. In order to capture the regulated dynamics of interest rate, we propose both a skew constant-elasticityof-variance (skew CEV) model with regular coefficients and skew Vacisek model with irregular coefficients. We then construct an improved piecewise binomial lattice to evaluate bonds and European/American bond options. Numerical simulations show that the improved piecewise binomial tree is efficient and satisfactory.

This talk is based on a joint work with Guangli Xu and Xiaoyang Zhuo.

Olivier Menoukeu Pamen is a Reader (Associate Professor) in Mathematics at the University of Liverpool. He held the position of German Research Chair in Mathematics and its Applications at the African Institute for Mathematical Sciences (AIMS) Ghana. Prior to this, he completed an MSc in Mathematics at the University of Yaoundé I and received a PhD in Financial Mathematics from the University of the Witwatersrand. He then joined the Centre of Mathematics for Applications in the University of Oslo as a Post-Doctorate research fellow. From there, he took up a permanent position in the Institute for Financial and Actuarial Mathematics at the University of Liverpool.

His research interests lie in stochastic analysis and its applications. In the past years, he has focused on stochastic optimal control theory and their applications to finance, insurance and microfinance, (backward) stochastic differential equations ((B)SDEs) and their applications, Malliavin calculus, and dynamical systems.