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Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 12 (2008)
Issue (Month): 1 (January)
Pages: 83-115
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
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;

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. 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)
2. Carl Chiarella & Oh Kwon, 2003. "Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields," Review of Derivatives Research, Springer, vol. 6(2), pages 129-155, May. [Downloadable!] (restricted)
3. Jacek Jakubowski & Jerzy Zabczyk, 2007. "Exponential moments for HJM models with jumps," Finance and Stochastics, Springer, vol. 11(3), pages 429-445, July. [Downloadable!] (restricted)
4. Michael Tehranchi, 2005. "A note on invariant measures for HJM models," Finance and Stochastics, Springer, vol. 9(3), pages 389-398, 07. [Downloadable!] (restricted)
5. Ram Bhar & Carl Chiarella, 1995. "Transformation of Heath-Jarrow-Morton Models to Markovian Systems," Working Paper Series 53, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
6. Carl Chiarella & Oh-Kang Kwon, 1999. "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model," Research Paper Series 5, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
   Other versions:
   • Carl Chiarella & Oh Kang Kwon, 2001. "Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model," Finance and Stochastics, Springer, vol. 5(2), pages 237-257. [Downloadable!] (restricted)
7. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April. [Downloadable!]
8. 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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