Term Structure Models of Interest Rates with Jump-diffusion Information

Term Structure Models of Interest Rates with Jump-diffusion Information
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Total Pages : 328
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ISBN-10 : MINN:31951P00831577H
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Book Synopsis Term Structure Models of Interest Rates with Jump-diffusion Information by : Koji Kusuda

Download or read book Term Structure Models of Interest Rates with Jump-diffusion Information written by Koji Kusuda and published by . This book was released on 2003 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:


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This paper develops models of the term structure when the short rate follows a jump-diffusion process. An empirical implementation demonstrates that jump-diffus