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On Markovian short rates in term structure models driven by jump-diffusion processes
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Pavel V. Gapeev
Veröffentlicht/Copyright:
25. September 2009
In this paper a bond market model and the related term structure of interest rates are studied where prices of zero coupon bonds are driven by a jump-diffusion process. A criterion is derived on the deterministic forward rate volatilities underwhich the short rate process isMarkovian. In the case that the volatilities depend on the short rate sufficient conditions are presented for the existence of a finite-dimensional Markovian realization of the term structure model.
Keywords: Bond market model; term structure of interest rates; Heath–Jarrow–Morton model; martingale measure; jump-diffusion process
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Received: 2005-June-20
Accepted: 2006-Mai-17
Published Online: 2009-09-25
Published in Print: 2006-12
© Oldenbourg Wissenschaftsverlag
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Artikel in diesem Heft
- Statistical inference on graphs
- Estimating market risk with neural networks
- On Markovian short rates in term structure models driven by jump-diffusion processes
- Robust multivariate location estimation, admissibility, and shrinkage phenomenon
- On local bootstrap bandwidth choice in kernel density estimation
- Correction note: On the optimal risk allocation problem
Schlagwörter für diesen Artikel
Bond market model;
term structure of interest rates;
Heath–Jarrow–Morton model;
martingale measure;
jump-diffusion process
Artikel in diesem Heft
- Statistical inference on graphs
- Estimating market risk with neural networks
- On Markovian short rates in term structure models driven by jump-diffusion processes
- Robust multivariate location estimation, admissibility, and shrinkage phenomenon
- On local bootstrap bandwidth choice in kernel density estimation
- Correction note: On the optimal risk allocation problem
