Please use this identifier to cite or link to this item:
Gapeev, Pavel V.
Küchler, Uwe
Year of Publication: 
Series/Report no.: 
SFB 373 Discussion Paper No. 2003,44
We study a bond market model and related term structure of interest rates where prices of zero coupon bonds are driven by a jump-diffusion process. We present a criterion on the deterministic forward rate volatilities under which the short rate process is Markovian and give sufficient conditions on the bond price volatility structure depending on the short rate for existing a finite-dimensional Markovian realization of the term structure model.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.