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What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?

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Author Info
Jirô Akahori ()
Takahiro Tsuchiya ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10690-007-9046-9
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Publisher Info
Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 13 (2006)
Issue (Month): 4 (December)
Pages: 299-313
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:apfinm:v:13:y:2006:i:4:p:299-313

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Web page: http://springerlink.metapress.com/link.asp?id=102851

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Related research
Keywords: State price density approach; Term structure models; Shirakawa model; Lévy process; Probability density; 91B70; 60G52; G12;

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References listed on IDEAS
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  1. Constantinides, George M, 1992. "A Theory of the Nominal Term Structure of Interest Rates," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(4), pages 531-52. [Downloadable!] (restricted)
  2. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January. [Downloadable!] (restricted)
  3. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March. [Downloadable!] (restricted)
  4. Ernst Eberlein & Jean Jacod & Sebastian Raible, 2005. "Lévy term structure models: No-arbitrage and completeness," Finance and Stochastics, Springer, vol. 9(1), pages 67-88, January. [Downloadable!] (restricted)
  5. Jirô Akahori & Keisuke Hara, 2006. "Lifting Quadratic Term Structure Models To Infinite Dimension," Mathematical Finance, Blackwell Publishing, vol. 16(4), pages 635-645. [Downloadable!] (restricted)
  6. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144. [Downloadable!] (restricted)
    Other versions:
  7. Carl Chiarella & Christina Sklibosios, 2003. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 87-127, September. [Downloadable!] (restricted)
    Other versions:
  8. Lane Hughston & Avraam Rafailidis, 2005. "A chaotic approach to interest rate modelling," Finance and Stochastics, Springer, vol. 9(1), pages 43-65, January. [Downloadable!] (restricted)
  9. Dong-Hyun Ahn & Robert F. Dittmar, 2002. "Quadratic Term Structure Models: Theory and Evidence," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 15(1), pages 243-288, March.
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