A Stochastic String with a Compound Poisson Process

Sheng Fan

Abstract and Applied Analysis, 2013, vol. 2013, issue 1

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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https://doi.org/10.1155/2013/857678

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:857678

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