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2013 A Stochastic String with a Compound Poisson Process
Sheng Fan
Abstr. Appl. Anal. 2013(SI42): 1-8 (2013). DOI: 10.1155/2013/857678

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.

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Sheng Fan. "A Stochastic String with a Compound Poisson Process." Abstr. Appl. Anal. 2013 (SI42) 1 - 8, 2013. https://doi.org/10.1155/2013/857678

Information

Published: 2013
First available in Project Euclid: 26 February 2014

zbMATH: 07095440
MathSciNet: MR3090271
Digital Object Identifier: 10.1155/2013/857678

Rights: Copyright © 2013 Hindawi

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Vol.2013 • No. SI42 • 2013
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