Ho-Lee model with jump-diffusion process and bond markets.

Title: Ho-Lee model with jump-diffusion process and bond markets.
Identifier: AAI9720151
identifier: 9720151
Creator: Wang, Wei.
Contributor: Adviser: Salih Neftci
Date: 1997
Language: English
Publisher: City University of New York.
Subject: Economics, Finance | Economics, Theory
Abstract: This paper derives an arbitrage-free interest rate movements with jump diffusion process model (ARJ model) which is a general case of arbitrage-free Ho-Lee model (1986). After adding a jump term into, and adjusting the drift term of Ho-Lee model, the new model is still an arbitrage-free one. But it covers more information and characterizes much better interest rate movement than the Ho-Lee model does. It has features to fit the interest rate movements in addition to having all the properties of Ho-Lee model, which is of great significance in analyzing the bond markets. I further show that the ARJ model can be used to price interest rate contingent claims.
Type: dissertation
Source: PQT Legacy CUNY.xlsx
degree: Ph.D.