BFS 2002

Poster Presentation

The purpose of this paper is to extend the Hull-White (1990) one-factor model to the jump-diffusion case. Our model is based on Shirakawa (1991) model of the Heath-Jarrow-Morton term structure of interest rate under jump-diffusions, that we parameterise by an appropriate choice of forward rate volatility function. In this framework, the European call bond option price is explicitly derived. Also, we consider the extension of the Hull-White two factor model to the jump-diffusion case.