THE SURPRISE ELEMENT: JUMPS IN INTEREST RATE DIFFUSIONS

@inproceedings{Das1999THESE,
  title={THE SURPRISE ELEMENT: JUMPS IN INTEREST RATE DIFFUSIONS},
  author={Sanjiv Ranjan Das},
  year={1999}
}
  • Sanjiv Ranjan Das
  • Published 1999
That information surprises result in discontinuous interest rates is no surprise to participants in the bond markets. We develop a class of jump-di®usion models of the short rate to capture surprise e®ects, and show that these models o®er a good statistical distribution of short rate behavior, and are useful in understanding many empirical phenomena. Continuous-time and discrete-time estimators are used based on analytical derivations of the characteristic functions, moments and density… CONTINUE READING

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