A model of the term structure of interest rates based on Lévy fields
AbstractAn extension of the Heath-Jarrow-Morton model for the development of instantaneous forward interest rates with deterministic coefficients and Gaussian as well as Lévy field noise terms is given. In the special case where the Lévy field is absent, one recovers a model discussed by D.P. Kennedy.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 114 (2004)
Issue (Month): 2 (December)
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- Albeverio, Sergio & Mastrogiacomo, Elisa & Smii, Boubaker, 2013. "Small noise asymptotic expansions for stochastic PDE’s driven by dissipative nonlinearity and Lévy noise," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2084-2109.
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