A stochastic string with a compound Poisson process (Q2319205)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic string with a compound Poisson process |
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A stochastic string with a compound Poisson process (English)
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16 August 2019
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Summary: We investigate a compound Poisson infinite factor diffusion model which describes the relationship between the infinite-dimension random risk resource and the corresponding stochastic process. We derive the no-arbitrage condition on the drift of instantaneous forward rates in the compound model and study the impact of random jump on the price of the zero-coupon bond.
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