Skip to main content
SpringerLink
Log in

Stochastic Simulation Method for the Term Structure Models with Jump

  • Conference paper
Computational Science and Its Applications - ICCSA 2006 (ICCSA 2006)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 3982))

Included in the following conference series:

  • 1417 Accesses

Abstract

Monte Carlo Method as a stochastic simulation method is used to evaluate many financial derivatives by financial engineers. Monte Carlo simulation is harder and more difficult to implement and analyse in many fields than other numerical methods. In this paper, we derive term structure models with jump and perform Monte Carlo simulations for them. We also make a comparison between the term structure models of interest rates with jump and HJM models based on jump. Bond pricing with Monte Carlo simulation is investigated for the term structure models with jump.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 139.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Ahn, C., Thompson, H.: Jump-Diffusion Processes and the Term Structure of Interest Rates. Journal of Finance 43, 155–174 (1998)

    Article  MathSciNet  Google Scholar 

  2. Baz, J., Das, S.R.: Analytical Approximations of the Term Structure for Jump-Diffusion Processes: A Numerical Analysis. Journal of Fixed Income 6(1), 78–86 (1996)

    Article  Google Scholar 

  3. Beaglehole, D., Tenney, M.: Corrections and Additions to ’A Nonlinear Equilibrium Model of the Term Structure of Interest Rates. Journal of Financial Economics 32, 345–353 (1992)

    Article  Google Scholar 

  4. Briys, E.: Options, Futures and Exotic Derivatives. John Wiley, Chichester (1985)

    Google Scholar 

  5. Cox, J.C., Ingersoll, J., Ross, S.: A Theory of the Term Structure of Interest Rate. Econometrica 53, 385–407 (1985)

    Article  MathSciNet  Google Scholar 

  6. Health, D., Jarrow, R., Morton, A.: Bond Pricing and the Term Structure of Interest Rates. Econometrica 60(1), 77–105 (1992)

    Article  Google Scholar 

  7. Ho, T.S., Lee, S.: Term Structure Movements and Pricing Interest Rate Contingent Claims. Journal of Finance 41, 1011–1028 (1986)

    Article  Google Scholar 

  8. Jamshidian, F.: An Exact Bond Option Formula. Journal of Finance 44 (1989)

    Google Scholar 

  9. Frank, J., Fabozzi, C.F.A.: Bond markets Analysis and strategies, 4th edn. (2000)

    Google Scholar 

  10. Hull, J., White, A.: Pricing Interest Rate Derivative Securities. Review of Financial Studies 3, 573–592 (1990)

    Article  Google Scholar 

  11. Hull, J., White, A.: Options, Futures, and Derivatives, 4th edn. (2000)

    Google Scholar 

  12. Longstaff, F.A., Schwartz, S.: Interest Rate Volatility and the Term structure: A Two-Factor General Equilibrium Model. Journal of Finance 47, 1259–1282 (1992)

    Article  Google Scholar 

  13. Brennan, M.J., Schwartz, E.S.: A Continuous Time Approach to the Pricing of Bonds. Journal of Banking and Finance 3, 133–155 (1979)

    Article  Google Scholar 

  14. Strikwerda, J.: Finite Difference Schmes and Partial Differential Equations. Wadsworth and Brooks/Cole Advanced Books and Software (1989)

    Google Scholar 

  15. Drosen, J.W.: Pure jump shock models in reliability. Adv. Appl. Probal. 18, 423–440 (1986)

    Article  MATH  MathSciNet  Google Scholar 

  16. Vasicek, O.A.: An Equilibrium Characterization of the Term Structure. Journal of Financial Economics 5, 177–188 (1977)

    Article  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Department of Mathematics, Sungkyunkwan University, 440-746, Suwon, Korea

    Kisoeb Park & Seki Kim

  2. School of Information and Communication Engineering, Sungkyunkwan University, 440-746, Suwon, Korea

    Moonseong Kim

Authors
  1. Kisoeb Park
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Moonseong Kim
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Seki Kim
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Editors and Affiliations

  1. Department of Computer Science, University of Calgary, 2500 University Drive N.W., T2N 1N4, Calgary, AB, Canada

    Marina Gavrilova

  2. Department of Mathematics and Computer Science, University of Perugia, via Vanvitelli, 1, I-06123, Perugia, Italy

    Osvaldo Gervasi

  3. William Norris Professor, Head of the Computer Science and Engineering Department, University of Minnesota, USA

    Vipin Kumar

  4. OptimaNumerics Ltd., Cathedral House, 23-31 Waring Street, BT1 2DX, Belfast, UK

    C. J. Kenneth Tan

  5. Clayton School of IT, Monash University, 3800, Clayton, Australia

    David Taniar

  6. Department of Chemistry, University of Perugia, Via Elce di Sotto, 8, I-06123, Perugia, Italy

    Antonio Laganá

  7. School of Computing, Soongsil University, Seoul, Korea

    Youngsong Mun

  8. School of Information and Communication Engineering, Sungkyunkwan University, Korea

    Hyunseung Choo

Rights and permissions

Reprints and permissions

Copyright information

© 2006 Springer-Verlag Berlin Heidelberg

About this paper

Cite this paper

Park, K., Kim, M., Kim, S. (2006). Stochastic Simulation Method for the Term Structure Models with Jump. In: Gavrilova, M., et al. Computational Science and Its Applications - ICCSA 2006. ICCSA 2006. Lecture Notes in Computer Science, vol 3982. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11751595_110

Download citation

  • DOI: https://doi.org/10.1007/11751595_110

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-34075-1

  • Online ISBN: 978-3-540-34076-8

  • eBook Packages: Computer ScienceComputer Science (R0)

Publish with us

Policies and ethics

Search

Navigation