Extension of Short Rate Model Under a Lévy Process

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...

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Published inFountain Journal of Natural and Applied Sciences (FUJNAS) Vol. 12; no. 2
Main Author Udoye, Dr A. M.
Format Journal Article
LanguageEnglish
Published Fountain University Osogbo 31.12.2023
Subjects
Lévy processes, Brownian motion, Hull-White model, Variance gamma process
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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
AbstractList 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
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
Author Udoye, Dr A. M.
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Title Extension of Short Rate Model Under a Lévy Process
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