A Stochastic String with a Compound Poisson Process

We investigate a compound Poisson infinite factor diffusion model which describes the relationship between the infinite-dimension random risk resource and the corresponding stochastic process. We derive the no-arbitrage condition on the drift of instantaneous forward rates in the compound model and...

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Main Author:	Sheng Fan
Format:	Article
Language:	English
Published:	Hindawi Limited 2013-01-01
Series:	Abstract and Applied Analysis
Online Access:	http://dx.doi.org/10.1155/2013/857678

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spelling	doaj-fcb3b7606957409eaf42e864f4ddf7ec2020-11-24T23:04:28ZengHindawi LimitedAbstract and Applied Analysis1085-33751687-04092013-01-01201310.1155/2013/857678857678A Stochastic String with a Compound Poisson ProcessSheng Fan0Department of Mathematics, Southwestern University of Finance and Economics, Chengdu 611130, ChinaWe investigate a compound Poisson infinite factor diffusion model which describes the relationship between the infinite-dimension random risk resource and the corresponding stochastic process. We derive the no-arbitrage condition on the drift of instantaneous forward rates in the compound model and study the impact of random jump on the price of the zero-coupon bond.http://dx.doi.org/10.1155/2013/857678
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Sheng Fan
spellingShingle	Sheng Fan A Stochastic String with a Compound Poisson Process Abstract and Applied Analysis
author_facet	Sheng Fan
author_sort	Sheng Fan
title	A Stochastic String with a Compound Poisson Process
title_short	A Stochastic String with a Compound Poisson Process
title_full	A Stochastic String with a Compound Poisson Process
title_fullStr	A Stochastic String with a Compound Poisson Process
title_full_unstemmed	A Stochastic String with a Compound Poisson Process
title_sort	stochastic string with a compound poisson process
publisher	Hindawi Limited
series	Abstract and Applied Analysis
issn	1085-3375 1687-0409
publishDate	2013-01-01
description	We investigate a compound Poisson infinite factor diffusion model which describes the relationship between the infinite-dimension random risk resource and the corresponding stochastic process. We derive the no-arbitrage condition on the drift of instantaneous forward rates in the compound model and study the impact of random jump on the price of the zero-coupon bond.
url	http://dx.doi.org/10.1155/2013/857678
work_keys_str_mv	AT shengfan astochasticstringwithacompoundpoissonprocess AT shengfan stochasticstringwithacompoundpoissonprocess
_version_	1725630118735380480

A Stochastic String with a Compound Poisson Process

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