Chen, Li; Bayraktar, Erhan; Poor, H. Vincent - EconWPA - 2003
In this paper we examine a consistency problem for a multi-factor jump diffusion model. First we bridge a gap between a … jump-diffusion model and a generalized Heath-Jarrow-Morton (HJM) model, and bring a multi- factor jump-diffusion model into … consistency condition for a jump-diffusion model. Then we consider the case that the forward rate function has a separable …