A Stochastic String with a Compound Poisson Process | Zendy

Sheng Fan | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

A Stochastic String with a Compound Poisson Process

Author(s) -

Sheng Fan

Publication year - 2013

Publication title -

abstract and applied analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.228

H-Index - 56

eISSN - 1687-0409

pISSN - 1085-3375

DOI - 10.1155/2013/857678

Subject(s) - mathematics , poisson distribution , short rate , dimension (graph theory) , jump process , compound poisson process , jump diffusion , arbitrage , jump , stochastic process , poisson process , statistical physics , bond , combinatorics , statistics , yield curve , financial economics , finance , quantum mechanics , physics , economics

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

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research