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https://hdl.handle.net/2440/579
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Type: | Journal article |
Title: | Short rate analysis and marked point processes |
Author: | Elliott, R. Tsoi, A. Lui, S. |
Citation: | Mathematical Methods of Operations Research, 1999; 50(1):149-160 |
Publisher: | Springer Verlag |
Issue Date: | 1999 |
ISSN: | 1432-2994 1432-5217 |
Statement of Responsibility: | Robert J. Elliott, Allanus H. Tsoi, Shiu Hong Lui |
Abstract: | In this paper we model the instantaneous spot interest rate in a financial market by means of a marked point process with bounded, predictable intensity. The transformed intensity of the point process vanishes when the interest rate leaves a prescribed bounded interval. We show that the pure discount bond price satisfies a partial differential difference equation under the risk-adjusted measure P *. Finally, we perform some numerical simulations of the discount bond price. |
Keywords: | Marked point process; spot interest rate; partial differential difference equation; discount bond price |
Rights: | © Springer-Verlag 1999 |
DOI: | 10.1007/s001860050041 |
Published version: | http://dx.doi.org/10.1007/s001860050041 |
Appears in Collections: | Applied Mathematics publications Aurora harvest 5 |
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