Extension of Short Rate Model Under a Lévy Process

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Dr A. M. Udoye

Abstract

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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How to Cite
Udoye, D. A. M. (2023). Extension of Short Rate Model Under a Lévy Process. Fountain Journal of Natural and Applied Sciences, 12(2). https://doi.org/10.53704/fujnas.v12i2.464
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