What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?
AbstractThis paper gives examples of explicit arbitrage-free term structure models with L\'evy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found that the probability density function of a L\'evy process is a "natural" scale for the process to be the state variable of a market.
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 13 (2006)
Issue (Month): 4 (December)
Contact details of provider:
Web page: http://springerlink.metapress.com/link.asp?id=102851
State price density approach; Term structure models; Shirakawa model; Lévy process; Probability density; 91B70; 60G52; G12;
Other versions of this item:
- Jir\^o Akahori & Takahiro Tsuchiya, 2006. "What is the natural scale for a L\'evy process in modelling term structure of interest rates?," Papers math/0612341, arXiv.org.
- 91B - - - - - -
- 60G - - - - - -
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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