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2005-10-20Buch DOI: 10.18452/3648
On Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes
dc.contributor.authorGapeev, Pavel V.
dc.contributor.authorKüchler, Uwe
dc.date.accessioned2017-06-15T21:40:30Z
dc.date.available2017-06-15T21:40:30Z
dc.date.created2005-10-20
dc.date.issued2005-10-20
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4300
dc.description.abstractWe study a bond market model and related term structure of interest rates where prices of zero coupon bonds are driven by a jump-diffusion process. We present a criterion on the deterministic forward rate volatilities under which the short rate process is Markovian and give sufficient conditions on the bond price volatility structure depending on the short rate for existing a finite-dimensional Markovian realization of the term structure model.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectstochastic differential equationeng
dc.subjectmartingale measureeng
dc.subjectterm structure of interest rateseng
dc.subjectLévy processeng
dc.subjectbond market modeleng
dc.subjectHeath-Jarrow-Morton approacheng
dc.subjectjump-diffusion processeng
dc.subjectvolatility structureeng
dc.subjectmean-reverting processeng
dc.subjectstate variableeng
dc.subjectfinite-dimensional Markovian realizationeng
dc.subject.ddc330 Wirtschaft
dc.titleOn Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10050780
dc.identifier.doihttp://dx.doi.org/10.18452/3648
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages16
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2003
local.edoc.container-issue44
local.edoc.container-year2003
local.edoc.container-erstkatid2135319-0

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