Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach

Chenghu Ma ()
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Chenghu Ma: Department of Accounting, Finance and Management, University of Essex

Annals of Economics and Finance, 2003, vol. 4, issue 2, 401-426

Abstract: The aim of this paper is to generalize Heath, Jarrow and Morton (1992, Econometrica) model of the term structure of interest rates within a jumpdiffusion formework. This is achieved by assuming that the forward rate process has a Levy jump component with general jump size distributions. Sufficient conditions are derived under which the no-arbitrage condition implies the existence of a unique martingale measure within the jump-diffusion framework.

Keywords: Term structure of interest rates; Martingale measure; Jump-diffusion (search for similar items in EconPapers)
JEL-codes: G10 G12 G13 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2003:v:4:i:2:p:401-426

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