In the context of credit risk, the term structure models that have been studied in the literature are typically models driven by Brownian motion or standard jump diffusions. These models provide coherent modeling that is straightforward to implement. To make these models more flexible, we...

This paper considers the effect on zero-coupon bond price valuation when short rate model has non-Gaussian dependent innovations. Higher order asymptotic theory enables us to obtain the approximate bond price formula. Some numerical examples are presented, where the process of innovations...