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

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

Review text

Summary: We investigate a compound Poisson infinite factor diffusion model which describes the relationship between the infinite-dimension random risk resource and the corresponding stochastic process. We derive the no-arbitrage condition on the drift of instantaneous forward rates in the compound model and study the impact of random jump on the price of the zero-coupon bond.

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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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