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Type: Journal article
Title: Short rate analysis and marked point processes
Author: Elliott, R.
Tsoi, A.
Lui, S.
Citation: Mathematical Methods of Operations Research, 1999; 50(1):149-160
Publisher: Springer Verlag
Issue Date: 1999
ISSN: 1432-2994
Statement of
Robert J. Elliott, Allanus H. Tsoi, Shiu Hong Lui
Abstract: In this paper we model the instantaneous spot interest rate in a financial market by means of a marked point process with bounded, predictable intensity. The transformed intensity of the point process vanishes when the interest rate leaves a prescribed bounded interval. We show that the pure discount bond price satisfies a partial differential difference equation under the risk-adjusted measure P *. Finally, we perform some numerical simulations of the discount bond price.
Keywords: Marked point process; spot interest rate; partial differential difference equation; discount bond price
Rights: © Springer-Verlag 1999
DOI: 10.1007/s001860050041
Appears in Collections:Applied Mathematics publications
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