Gapeev Pavel V.; Uwe, Küchler - In: Statistics & Risk Modeling 24 (2006) 2, pp. 17-17
In this paper a bond market model and the related term structure of interest rates are studied where prices of zero coupon bonds are driven by a jump-diffusion process. A criterion is derived on the deterministic forward rate volatilities underwhich the short rate process isMarkovian. In the...