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Existence of L\'evy term structure models

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  • Damir Filipovi'c
  • Stefan Tappe

Abstract

L\'evy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the L\'evy driven Heath-Jarrow-Morton type term structure equation. This includes a full proof of existence and uniqueness in particular, which seems to have been lacking in the finance literature so far.

Suggested Citation

  • Damir Filipovi'c & Stefan Tappe, 2019. "Existence of L\'evy term structure models," Papers 1907.03561, arXiv.org.
    • Handle: RePEc:arx:papers:1907.03561
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    References listed on IDEAS

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