Financial Management White Papers
Jump-Diffusion Term Structure and Ito Conditional Moment Generator
Overview This paper implements a Multivariate Weighted Nonlinear Least Square estimator for a class of jump-diffusion interest rate processes (MWNLS-JD), which also admit closed-form solutions to bond prices under a no-arbitrage argument. The instantaneous interest rate is modeled as a mixture of a square-root diffusion process and a Poisson jump process.
| Publisher | Federal Reserve Board | File Format | |
|---|---|---|---|
| Date Published | April 2001 | ||
| Format | White Papers | ||
| Topics | |||
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