Consistency Problems for Jump-Diffusion Models

Simple item page
dc.creatorBayraktar, Erhan
dc.creatorChen, Li
dc.creatorPoor, H. Vincent
dc.date2005-01-23
dc.date.accessioned2026-07-07T08:15:19Z
dc.date.available2026-07-07T08:15:19Z
dc.descriptionIn this paper consistency problems for multi-factor jump-diffusion models, where the jump parts follow multivariate point processes are examined. First the gap between jump-diffusion models and generalized Heath-Jarrow-Morton (HJM) models is bridged. By applying the drift condition for a generalized arbitrage-free HJM model, the consistency condition for jump-diffusion models is derived. Then we consider a case in which the forward rate curve has a separable structure, and obtain a specific version of the general consistency condition. In particular, a necessary and sufficient condition for a jump-diffusion model to be affine is provided. Finally the Nelson-Siegel type of forward curve structures is discussed. It is demonstrated that under regularity condition, there exists no jump-diffusion model consistent with the Nelson-Siegel curves.
dc.descriptionTo appear in Applied Mathematical Finance
dc.identifierhttps://arxiv.org/abs/cs/0501055
dc.identifierhttp://arxiv.org/abs/cs/0501055
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/133410
dc.subjectInformation Theory
dc.subjectComputational Engineering, Finance, and Science
dc.titleConsistency Problems for Jump-Diffusion Models
dc.typetext

Files

Collections

arXiv