On Markovian short rates in term structure models driven by jump-diffusion processes

DOI10.1524/stnd.2006.24.2.255zbMath1152.60065OpenAlexW1970514300MaRDI QIDQ5386288

Pavel V. Gapeev, Uwe Küchler

Publication date: 14 May 2008

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2006.24.2.255

zbMATH Keywords

stochastic differential equationterm structure of interest ratesLévy processHeath-Jarrow-Morton modelmartingale measurestate variablesjump-diffusion processvolatility structurebond market modelfinite-dimensional Markovian realization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

Related Items (1)

Markovian short rates in multidimensional term structure Lévy models

This page was built for publication: On Markovian short rates in term structure models driven by jump-diffusion processes