“…For some recent works concerning jump-diffusion models see [1,7,10,20,27]. Another recent domain of interest is the analytical modeling of jumps in fixed-income markets, [8,13,14,17,18,20,33]. The choice of a jump diffusion model in this setting seems to be the natural one [25,18]; it is worth noticing that this choice preserves the mean reverting behaviour of the interest rate curve.…”