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 jump...
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| Format: | Article |
| Language: | English |
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Fountain University Osogbo
2023-09-01
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| Series: | Fountain Journal of Natural and Applied Sciences (FUJNAS) |
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| Online Access: | https://www.fountainjournals.com/index.php/FUJNAS/article/view/464 |
| _version_ | 1797663179104321536 |
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| author | Dr A. M. Udoye |
| author_facet | Dr A. M. Udoye |
| author_sort | Dr A. M. Udoye |
| collection | DOAJ |
| description |
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
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| first_indexed | 2024-03-11T19:10:47Z |
| format | Article |
| id | doaj.art-0c446225e07a4b97bbdcb65448518acf |
| institution | Directory Open Access Journal |
| issn | 2350-1863 2354-337X |
| language | English |
| last_indexed | 2024-03-11T19:10:47Z |
| publishDate | 2023-09-01 |
| publisher | Fountain University Osogbo |
| record_format | Article |
| series | Fountain Journal of Natural and Applied Sciences (FUJNAS) |
| spelling | doaj.art-0c446225e07a4b97bbdcb65448518acf2023-10-09T17:08:05ZengFountain University OsogboFountain Journal of Natural and Applied Sciences (FUJNAS)2350-18632354-337X2023-09-0112210.53704/fujnas.v12i2.464Extension of Short Rate Model Under a Lévy ProcessDr A. M. Udoye0Federal University, Oye-Ekiti 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 https://www.fountainjournals.com/index.php/FUJNAS/article/view/464Lévy processes, Brownian motion, Hull-White model, Variance gamma process |
| spellingShingle | Dr A. M. Udoye Extension of Short Rate Model Under a Lévy Process Fountain Journal of Natural and Applied Sciences (FUJNAS) Lévy processes, Brownian motion, Hull-White model, Variance gamma process |
| title | Extension of Short Rate Model Under a Lévy Process |
| title_full | Extension of Short Rate Model Under a Lévy Process |
| title_fullStr | Extension of Short Rate Model Under a Lévy Process |
| title_full_unstemmed | Extension of Short Rate Model Under a Lévy Process |
| title_short | Extension of Short Rate Model Under a Lévy Process |
| title_sort | extension of short rate model under a levy process |
| topic | Lévy processes, Brownian motion, Hull-White model, Variance gamma process |
| url | https://www.fountainjournals.com/index.php/FUJNAS/article/view/464 |
| work_keys_str_mv | AT dramudoye extensionofshortratemodelunderalevyprocess |