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Lévy term structure models: No-arbitrage and completeness

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Author Info
Ernst Eberlein ()
Jean Jacod ()
Sebastian Raible
Abstract

The Lévy term structure model due to Eberlein and Raible is extended to non-homogeneous driving processes. The classes of equivalent martingale and local martingale measures for various filtrations are characterized. It turns out that in a number of standard situations the martingale measure is unique. Copyright Springer-Verlag Berlin/Heidelberg 2005

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File URL: http://hdl.handle.net/10.1007/s00780-004-0138-3
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 9 (2005)
Issue (Month): 1 (January)
Pages: 67-88
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Handle: RePEc:spr:finsto:v:9:y:2005:i:1:p:67-88

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Related research
Keywords: Term structures; Lévy processes; no-arbitrage; completeness;

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  1. Jirô Akahori & Takahiro Tsuchiya, 2006. "What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?," Asia-Pacific Financial Markets, Springer, vol. 13(4), pages 299-313, December. [Downloadable!] (restricted)
    Other versions:
  2. 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)
  3. 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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