TY  - JOUR 
AU  - Gómez del Valle, María Lourdes
AU  - Martínez Rodríguez, Julia
PY  - 2019
UR  - http://uvadoc.uva.es/handle/10324/32346
AB  - In this paper, we consider a two-factor interest rate model with stochastic volatility and we propose that the interest rate follows a jump-di ffusion process. The estimation of the market price of risk is an open question in two-factor jump-di...
LA  - eng
PB  - Elsevier
KW  - Economía y empresa
TI  - The risk-neutral stochastic volatility in interest rate models with jump–diffusion processes
DO  - https://doi.org/10.1016/j.cam.2018.07.048
ER  -