Stochastic Simulation Method for the Term Structure Models with Jump

  • Kisoeb Park
  • Moonseong Kim
  • Seki Kim
Part of the Lecture Notes in Computer Science book series (LNCS, volume 3982)


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.


Interest Rate Monte Carlo Simulation Term Structure Forward Rate Bond Price 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2006

Authors and Affiliations

  • Kisoeb Park
    • 1
  • Moonseong Kim
    • 2
  • Seki Kim
    • 1
  1. 1.Department of MathematicsSungkyunkwan UniversitySuwonKorea
  2. 2.School of Information and Communication EngineeringSungkyunkwan UniversitySuwonKorea

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