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On Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes

We study a bond market model and related term structure of interest rates where prices of zero coupon bonds are driven by a jump-diffusion process. We present a criterion on the deterministic forward rate volatilities under which the short rate process is Markovian and give sufficient conditions on the bond price volatility structure depending on the short rate for existing a finite-dimensional Markovian realization of the term structure model.
Year of publication:
2003
Authors: Gapeev, Pavel V. ; Küchler, Uwe
Institutions: Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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application/pdf
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Type of publication: Book / Working Paper
Notes:
Number 2003,44
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Persistent link: https://www.econbiz.de/10010983645
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