On Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes
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. --
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Bibliographic InfoPaper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 2003,44.
Date of creation: 2003
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