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Exponential moments for HJM models with jumps

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  • Jacek Jakubowski
  • Jerzy Zabczyk

Abstract

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Suggested Citation

  • Jacek Jakubowski & Jerzy Zabczyk, 2007. "Exponential moments for HJM models with jumps," Finance and Stochastics, Springer, vol. 11(3), pages 429-445, July.
    • Handle: RePEc:spr:finsto:v:11:y:2007:i:3:p:429-445
    DOI: 10.1007/s00780-007-0040-x
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    References listed on IDEAS

    as
    1. Ernst Eberlein & Sebastian Raible, 1999. "Term Structure Models Driven by General Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 31-53, January.
    2. Ivar Ekeland & Erik Taflin, 2003. "A theory of bond portfolios," Papers math/0301278, arXiv.org, revised May 2005.
    3. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239, April.
    4. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
    5. repec:dau:papers:123456789/6041 is not listed on IDEAS
    6. 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.
    7. Rama Cont, 2005. "Modeling Term Structure Dynamics: An Infinite Dimensional Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 357-380.
    8. Rene Carmona & Michael Tehranchi, 2004. "A Characterization of Hedging Portfolios for Interest Rate Contingent Claims," Papers math/0407119, arXiv.org.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Micha{l} Barski & Jacek Jakubowski & Jerzy Zabczyk, 2008. "On incompleteness of bond markets with infinite number of random factors," Papers 0809.2270, arXiv.org, revised Jan 2016.
    2. Anastasis Kratsios & Cody B. Hyndman, 2017. "Deep Learning in a Generalized HJM-type Framework Through Arbitrage-Free Regularization," Papers 1710.05114, arXiv.org, revised Dec 2019.
    3. Damir Filipović & Stefan Tappe, 2008. "Existence of Lévy term structure models," Finance and Stochastics, Springer, vol. 12(1), pages 83-115, January.
    4. Francesca Biagini & Maximilian Härtel, 2014. "Behavior Of Long-Term Yields In A Lévy Term Structure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-24.
    5. Michal Baran & Jerzy Zabczyk, 2009. "Bonds with volatilities proportional to forward rates," Papers 0911.1119, arXiv.org.
    6. Micha{l} Barski & Jerzy Zabczyk, 2015. "Forward rate models with linear volatilities," Papers 1512.05321, arXiv.org.
    7. Micha{l} Barski, 2015. "Incompleteness of the bond market with L\'evy noise under the physical measure," Papers 1512.03963, arXiv.org.
    8. Michał Barski & Jerzy Zabczyk, 2012. "Forward rate models with linear volatilities," Finance and Stochastics, Springer, vol. 16(3), pages 537-560, July.

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    More about this item

    Keywords

    Lévy processes; Bond models; HJM postulate; Martingales; 60H30; 91B28; 60G51; E43; G12;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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