Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
Positive Interest Rate Model in the Presence of Jumps
- Issue Date
- Dec-2004
- Publisher
- 한국통계학회
- Keywords
- Positive interest rate model; Wiener processes; Poisson processes
- Citation
- Communications for Statistical Applications and Methods, v.11, no.3, pp.495 - 501
- Volume
- 11
- Number
- 3
- Start Page
- 495
- End Page
- 501
- ISSN
- 2287-7843
- Abstract
- HJM representation of the term structure of interest rates sometimes produces the negative interest rates with positive probability. This paper shows that the condition of positive interest rates can be derived from the jump difusion process, if a proper positive martingale process with the compensated jump process is chosen. As in Flesaker and Hughston, the condition is incorporated into the bond price process.
- Files in This Item
- Go to Link
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
Related Researcher
- Rhee, Joon Hee
- College of Business Administration (School of Business Administration)