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Exponential moments for HJM models with jumps

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Author Info
Jacek Jakubowski ()
Jerzy Zabczyk ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-007-0040-x
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 11 (2007)
Issue (Month): 3 (July)
Pages: 429-445
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Handle: RePEc:spr:finsto:v:11:y:2007:i:3:p:429-445

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Related research
Keywords: Lévy processes; Bond models; HJM postulate; Martingales; 60H30; 91B28; 60G51; E43; G12;

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References listed on IDEAS
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.:
  1. Rene Carmona & Michael Tehranchi, 2004. "A Characterization of Hedging Portfolios for Interest Rate Contingent Claims," Quantitative Finance Papers math/0407119, arXiv.org. [Downloadable!]
  2. 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)
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Cited by:
(explanations, 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.)

  1. Michal Baran & Jacek Jakubowski & Jerzy Zabczyk, 2008. "On incompleteness of bond markets with infinite number of random factors," Quantitative Finance Papers 0809.2270, arXiv.org. [Downloadable!]
  2. Damir Filipović & Stefan Tappe, 2008. "Existence of Lévy term structure models," Finance and Stochastics, Springer, vol. 12(1), pages 83-115, January. [Downloadable!] (restricted)
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This page was last updated on 2009-11-25.

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