{"title":"lsamvy过程下短期利率模型的推广","authors":"Dr A. M. Udoye","doi":"10.53704/fujnas.v12i2.464","DOIUrl":null,"url":null,"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","PeriodicalId":497163,"journal":{"name":"Fountain Journal of National ad Applied Sciences","volume":"81 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Extension of Short Rate Model Under a Lévy Process\",\"authors\":\"Dr A. M. Udoye\",\"doi\":\"10.53704/fujnas.v12i2.464\",\"DOIUrl\":null,\"url\":null,\"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\",\"PeriodicalId\":497163,\"journal\":{\"name\":\"Fountain Journal of National ad Applied Sciences\",\"volume\":\"81 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-09-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Fountain Journal of National ad Applied Sciences\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.53704/fujnas.v12i2.464\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Fountain Journal of National ad Applied Sciences","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.53704/fujnas.v12i2.464","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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 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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