The term structure of simple forward rates with jump risk

Mathematical Finance

Volumn 13, Issue 3, 2003, Pages 383-410

  Glasserman, Paul ^a   Kou, S G ^b  

^a Columbia University ^*  (United States)

^b Department of Earth and Environmental Sciences   (United States)

Author keywords

Interest rate derivative securities; Interest rate models; Jump diffusion models

Indexed keywords

EID: 0038447793     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00021     Document Type: Article

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