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A Stochastic String with a Compound Poisson Process

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  • Sheng Fan

Abstract

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.

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  • Sheng Fan, 2013. "A Stochastic String with a Compound Poisson Process," Abstract and Applied Analysis, Hindawi, vol. 2013, pages 1-8, August.
    • Handle: RePEc:hin:jnlaaa:857678
    DOI: 10.1155/2013/857678
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