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Existence of Lévy term structure models

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  • Damir Filipović

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  • Stefan Tappe

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-007-0054-4
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 12 (2008)
    Issue (Month): 1 (January)
    Pages: 83-115

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    Handle: RePEc:spr:finsto:v:12:y:2008:i:1:p:83-115

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    Related research

    Keywords: Forward curve spaces; Lévy term structure models; Stochastic integration in Hilbert spaces; Strong; weak and mild solutions of infinite dimensional SDEs; 91B28; 91B70; 60G51; 60H15; E43; G10;

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    References

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    1. Jacek Jakubowski & Jerzy Zabczyk, 2007. "Exponential moments for HJM models with jumps," Finance and Stochastics, Springer, Springer, vol. 11(3), pages 429-445, July.
    2. Peter Ritchken & L. Sankarasubramanian, 1995. "Volatility Structures Of Forward Rates And The Dynamics Of The Term Structure," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 5(1), pages 55-72.
    3. 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, Econometric Society, vol. 60(1), pages 77-105, January.
    4. Ram Bhar & Carl Chiarella, 1995. "Transformation of Heath-Jarrow-Morton Models to Markovian Systems," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 53, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    5. Ernst Eberlein & Jean Jacod & Sebastian Raible, 2005. "Lévy term structure models: No-arbitrage and completeness," Finance and Stochastics, Springer, Springer, vol. 9(1), pages 67-88, January.
    6. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 7(2), pages 211-239.
    7. Carl Chiarella & Oh-Kang Kwon, 1999. "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 5, Quantitative Finance Research Centre, University of Technology, Sydney.
    8. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 75(2), pages 305-332, April.
    9. Andrew Mark Jeffrey, 1995. "Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics," Yale School of Management Working Papers, Yale School of Management ysm46, Yale School of Management.
    10. Hiroshi Shirakawa, 1991. "Interest Rate Option Pricing With Poisson-Gaussian Forward Rate Curve Processes," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 1(4), pages 77-94.
    11. Michael Tehranchi, 2005. "A note on invariant measures for HJM models," Finance and Stochastics, Springer, Springer, vol. 9(3), pages 389-398, 07.
    12. Robert Jarrow & Dilip Madan, 1995. "Option Pricing Using The Term Structure Of Interest Rates To Hedge Systematic Discontinuities In Asset Returns," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 5(4), pages 311-336.
    13. Carl Chiarella & Oh Kwon, 2003. "Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields," Review of Derivatives Research, Springer, Springer, vol. 6(2), pages 129-155, May.
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    Cited by:
    1. Lijun Bo & Ying Jiao & Xuewei Yang, 2011. "Credit derivatives pricing with default density term structure modelled by Lévy random fields," Working Papers hal-00651397, HAL.
    2. Michał Barski & Jerzy Zabczyk, 2012. "Forward rate models with linear volatilities," Finance and Stochastics, Springer, Springer, vol. 16(3), pages 537-560, July.
    3. Albeverio, S. & Mandrekar, V. & Rüdiger, B., 2009. "Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 119(3), pages 835-863, March.
    4. St\'ephane Goutte & Nadia Oudjane & Francesco Russo, 2009. "Variance Optimal Hedging for continuous time processes with independent increments and applications," Papers 0912.0372, arXiv.org.

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