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Annals of Science and Technology
Volume 6 (2021): Issue 1 (June 2021)
Open Access
Interest Rate Modelling in the Presence of Discontinuities and its Sensitivities
Adaobi M. Udoye
Adaobi M. Udoye
Department of Mathematics, Faculty of Science, Federal University Oye-Ekiti
Ekiti, Nigeria
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Udoye, Adaobi M.
,
Eka O. Ogbaji
Eka O. Ogbaji
Department of Mathematics and Statistics, Faculty of Pure and Applied Sciences, Federal University Wukari
Taraba, Nigeria
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Ogbaji, Eka O.
,
Lukman S. Akinola
Lukman S. Akinola
Department of Mathematics, Faculty of Science, Federal University Oye-Ekiti
Ekiti, Nigeria
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Akinola, Lukman S.
and
Maurice N. Annorzie
Maurice N. Annorzie
Department of Mathematics, Faculty of Physical Sciences, Imo State University
Owerri, Nigeria
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Annorzie, Maurice N.
Jul 01, 2021
Annals of Science and Technology
Volume 6 (2021): Issue 1 (June 2021)
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Published Online:
Jul 01, 2021
Page range:
9 - 15
Received:
Dec 23, 2020
Accepted:
Apr 15, 2021
DOI:
https://doi.org/10.2478/ast-2021-0002
Keywords
Interest Rate
,
Vasicek model
,
Compound Poisson process
,
Jump-diffusion process
,
Itô formula
© 2021 Adaobi M. Udoye et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.
