Abstract
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.
Full Text
Sign-in/Register to access full text options
Published version (Free)
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
More From: International Journal of Theoretical and Applied Finance
Paper Title
Journal
Date