World Scientific
Skip main navigation

Cookies Notification

We use cookies on this site to enhance your user experience. By continuing to browse the site, you consent to the use of our cookies. Learn More
×

System Upgrade on Tue, May 28th, 2024 at 2am (EDT)

Existing users will be able to log into the site and access content. However, E-commerce and registration of new users may not be available for up to 12 hours.
For online purchase, please visit us again. Contact us at customercare@wspc.com for any enquiries.

A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS

    https://doi.org/10.1142/S021902492050020XCited by:0 (Source: Crossref)

    We show that for time-inhomogeneous Markovian Heath–Jarrow–Morton models driven by an infinite-dimensional Brownian motion and a Poisson random measure an equivalent change of measure exists whenever the real-world and the risk-neutral dynamics can be defined uniquely and are related via a drift and a jump condition.

    Remember to check out the Most Cited Articles!

    Be inspired by these new titles
    With a wide range of areas, you're bound to find something you like.