On Markovian short rates in term structure models driven by jump-diffusion processes (Q5386288)
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scientific article; zbMATH DE number 5274445
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Markovian short rates in term structure models driven by jump-diffusion processes |
scientific article; zbMATH DE number 5274445 |
Statements
On Markovian short rates in term structure models driven by jump-diffusion processes (English)
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14 May 2008
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bond market model
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term structure of interest rates
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Heath-Jarrow-Morton model
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martingale measure
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jump-diffusion process
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Lévy process
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volatility structure
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finite-dimensional Markovian realization
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state variables
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stochastic differential equation
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