IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v50y2021i14p3249-3261.html
   My bibliography  Save this article

A BSDE approach for bond pricing under interest rate models with self-exciting jumps

Author

Listed:
  • Zhongyang Sun
  • Xin Zhang
  • Ya-Nan Li

Abstract

In this article, we consider zero-coupon bond pricing problems for the stochastic interest rate model with clustering effects of self-exciting jumps. We first develop the evolution of the interest rate model under the equivalent martingale measure. Then we characterize the bond price in terms of a backward stochastic differential equation (BSDE). Closed-form solution of the BSDE is expressed as an exponential affine function of the interest rate and the intensity of jumps when the coefficients of interest rate model have affine structures.

Suggested Citation

  • Zhongyang Sun & Xin Zhang & Ya-Nan Li, 2021. "A BSDE approach for bond pricing under interest rate models with self-exciting jumps," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 50(14), pages 3249-3261, July.
    • Handle: RePEc:taf:lstaxx:v:50:y:2021:i:14:p:3249-3261
    DOI: 10.1080/03610926.2019.1691234
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610926.2019.1691234
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610926.2019.1691234?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fan Wu & Yang Shen & Xin Zhang & Kai Ding, 2024. "Optimal Claim-Dependent Proportional Reinsurance Under a Self-Exciting Claim Model," Journal of Optimization Theory and Applications, Springer, vol. 201(3), pages 1229-1255, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:lstaxx:v:50:y:2021:i:14:p:3249-3261. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.