A stochastic string with a compound Poisson process

DOI10.1155/2013/857678MaRDI QIDQ2319205zbMATH OpenOpenAlexWikidataFDO

Authors Sheng Fan

Publication date 16 August 2019

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/857678

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Jump processes on general state spaces (60J76)

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• COMPOUND POISSON APPROXIMATION OF THE NUMBER DISTRIBUTION FOR MONOTONE STRINGS OF FIXED LENGTH IN A RANDOM SEQUENCE
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• Random string: an explicitly solvable model
• Probability Distribution of the Eigenvalues of the Random String Equation
• An excursion to the Kolmogorov random strings
• A class of generalized compound Poisson processes

Cites work

• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Characterizing Gaussian Models of the Term Structure of Interest Rates
• Lévy term structure models: no-arbitrage and completeness
• Pricing interest-rate-derivative securities
• Stochastic calculus for finance. II: Continuous-time models.
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD

Cited in

(1)

• The analysis of corporate bond valuation under an infinite dimensional compound Poisson framework

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