Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina - In: Quantitative Finance 10 (2010) 1, pp. 23-37
This paper considers interest rate term structure models in a market attracting both continuous and discrete types of uncertainty. The event-driven noise is modelled by a Poisson random measure. Using as numeraire the growth optimal portfolio, interest rate derivatives are priced under the...