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A Stochastic String with a Compound Poisson Process
Author
Source
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-08-01
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Fan, Sheng. 2013. A Stochastic String with a Compound Poisson Process. Abstract and Applied Analysis،Vol. 2013, no. 2013, pp.1-8.
https://search.emarefa.net/detail/BIM-503847
Modern Language Association (MLA)
Fan, Sheng. A Stochastic String with a Compound Poisson Process. Abstract and Applied Analysis No. 2013 (2013), pp.1-8.
https://search.emarefa.net/detail/BIM-503847
American Medical Association (AMA)
Fan, Sheng. A Stochastic String with a Compound Poisson Process. Abstract and Applied Analysis. 2013. Vol. 2013, no. 2013, pp.1-8.
https://search.emarefa.net/detail/BIM-503847
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-503847