Real-world jump-diffusion term structure models

DOI10.1080/14697680902814233zbMath1202.91332OpenAlexW2136831886MaRDI QIDQ5189712

Eckhard Platen, Christina Nikitopoulos Sklibosios, Nicola Bruti-Liberati

Publication date: 11 March 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902814233

zbMATH Keywords

growth optimal portfoliobenchmark approachjump-diffusion term structure modelreal-word probability measure, jump intensity and pricing

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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