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A Note On Real-World And Risk-Neutral Dynamics For Heath–Jarrow–Morton Frameworks

Author

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  • DAVID CRIENS

    (Department of Mathematics, Technical University of Munich, Munich 80333, Germany)

Abstract

We show that for time-inhomogeneous Markovian Heath–Jarrow–Morton models driven by an infinite-dimensional Brownian motion and a Poisson random measure an equivalent change of measure exists whenever the real-world and the risk-neutral dynamics can be defined uniquely and are related via a drift and a jump condition.

Suggested Citation

  • David Criens, 2020. "A Note On Real-World And Risk-Neutral Dynamics For Heath–Jarrow–Morton Frameworks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(03), pages 1-17, May.
    • Handle: RePEc:wsi:ijtafx:v:23:y:2020:i:03:n:s021902492050020x
    DOI: 10.1142/S021902492050020X
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