Stochastic simulation method for the term structure models with jump

  • Authors:

  • Kisoeb Park;Moonseong Kim;Seki Kim

  • Affiliations:

  • Department of Mathematics, Sungkyunkwan University, Suwon, Korea;School of Information and Communication Engineering, Sungkyunkwan University, Suwon, Korea;Department of Mathematics, Sungkyunkwan University, Suwon, Korea

  • Venue:
  • ICCSA'06 Proceedings of the 2006 international conference on Computational Science and Its Applications - Volume Part III
  • Year:
  • 2006

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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.