Jump-Diffusion Processes and the Term Structure of Interest Rates
The authors investigate the term structure of interest rates when the underlying state variables and production technologies follow the jump-diffusion processes. Even in some cases where the traditional expectations theory about the term structure is consistent with general equilibrium under diffusi...
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| Veröffentlicht in: | The Journal of finance (New York) 1988-03, Vol.43 (1), p.155-174 |
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| container_end_page | 174 |
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| container_title | The Journal of finance (New York) |
| container_volume | 43 |
| creator | AHN, CHANG MO THOMPSON, HOWARD E. |
| description | The authors investigate the term structure of interest rates when the underlying state variables and production technologies follow the jump-diffusion processes. Even in some cases where the traditional expectations theory about the term structure is consistent with general equilibrium under diffusion processes, the traditional theory is not consistent under jump-diffusion processes. It is shown that bond prices are strictly higher under jump risks than otherwise and that consumers with logarithmic utility functions will develop hedge portfolios in the presence of jump diffusion. |
| doi_str_mv | 10.1111/j.1540-6261.1988.tb02595.x |
| format | Article |
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Even in some cases where the traditional expectations theory about the term structure is consistent with general equilibrium under diffusion processes, the traditional theory is not consistent under jump-diffusion processes. It is shown that bond prices are strictly higher under jump risks than otherwise and that consumers with logarithmic utility functions will develop hedge portfolios in the presence of jump diffusion.</abstract><cop>Oxford, UK</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1111/j.1540-6261.1988.tb02595.x</doi><tpages>20</tpages></addata></record> |
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| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 1988-03, Vol.43 (1), p.155-174 |
| issn | 0022-1082 1540-6261 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_36911008 |
| source | Periodicals Index Online; Jstor Complete Legacy |
| subjects | Beta Bonds Capital asset pricing models Discounts Economic models Equilibrium interest rate Expected utility Interest rates Investment risk Mathematical models Mathematical vectors Matrices Securities analysis Structure Term Theory Utility functions Yield curves |
| title | Jump-Diffusion Processes and the Term Structure of Interest Rates |
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