Extension of Short Rate Model Under a Lévy Process
DOI:
https://doi.org/10.53704/fujnas.v12i2.464Keywords:
Lévy processes, Brownian motion, Hull-White model, Variance gamma processAbstract
A lot of abnormalities occur in real-life scenarios, thus leading to some difficulties in modelling such scenarios without a deeper understanding of certain aspects of Lévy processes. In this paper, the short rate model of Hull-White (1990) is extended to a model for capturing possibilities of jumps in real-life situations using a class of Lévy processes called a variance gamma process.
Mathematics Subject Classification (2020). 91G30, 62P05
Keywords: Lévy processes, Brownian motion, Hull-White model, Variance gamma process
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