What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?
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- Jir^o Akahori & Takahiro Tsuchiya, 2006. "What is the natural scale for a L\'evy process in modelling term structure of interest rates?," Papers math/0612341, arXiv.org.
References listed on IDEAS
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KeywordsState price density approach; Term structure models; Shirakawa model; Lévy process; Probability density; 91B70; 60G52; G12;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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