On Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes

We 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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Year of publication:	2003
Authors:	Gapeev, Pavel V. ; Küchler, Uwe
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	Börsenkurs \| Rentenmarkt \| Zinsstruktur \| Markovscher Prozess \| Theorie

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Series:	SFB 373 Discussion Paper ; 2003,44
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	379173476 [GVK] hdl:10419/22258 [Handle] RePEc:zbw:sfb373:200344 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010296479