A Stochastic String with a Compound Poisson Process

Sheng Fan

Abstract and Applied Analysis, 2013, vol. 2013, 1-8

Abstract:

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.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:857678

DOI: 10.1155/2013/857678

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