Open AccessJump-Diffusion Processes and Affine Term Structure Models: Additional Closed-Form Approximate Solutions, Distributional Assumptions for Jumps, and Parameter Estimates
Author(s) -
J. Benson Durham
Publication year - 2005
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2005.53
Subject(s) - jump , jump diffusion , short rate , mathematics , linearization , affine transformation , term (time) , gaussian , jump process , diffusion , statistical physics , nonlinear system , physics , quantum mechanics , yield curve , pure mathematics , thermodynamics