On Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes
نویسندگان
چکیده
In this paper a bond market model and the related term structure of interest rates are studied where prices of zero coupon bonds are driven by a jump-diffusion process. A criterion is derived on the deterministic forward rate volatilities under which the short rate process is Markovian. In the case that the volatilities depend on the short rate sufficient conditions are presented for the existence of a finite-dimensional Markovian realization of the term structure model.
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