Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation

Shounian Deng, Chen Fei, Weiyin Fei, Xuerong Mao

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In this paper, we consider a generalized Ait-Sahalia interest rate model with Poisson jumps in finance. The analytical properties including positivity, boundedness and pathwise asymptotic estimations of the solution to this model are investigated. Moreover, we prove that the EulerMaruyama (EM) numerical solution converges to the true solution of the model in probability. Finally, we apply the EM solution to compute some financial quantities. A numerical example is provided to demonstrate the effectiveness of our results.
Original languageEnglish
Article number122057
Number of pages18
JournalPhysica A: Statistical Mechanics and its Applications
Early online date17 Jul 2019
Publication statusPublished - 1 Nov 2019


  • stochastic interest rate model
  • poisson jumps
  • EM method
  • convergence in probability

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