Markovian short rates in a forward rate model with a general class of Lévy processes
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References listed on IDEAS
- Ernst Eberlein & Sebastian Raible, 1999. "Term Structure Models Driven by General Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 31-53.
- R. Bhar & C. Chiarella, 1997.
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- David Heath & Robert Jarrow & Andrew Morton, 2008.
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World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305
World Scientific Publishing Co. Pte. Ltd..
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- Gapeev, Pavel V., 2004. "On arbitrage and Markovian short rates in fractional bond markets," Statistics & Probability Letters, Elsevier, vol. 70(3), pages 211-222, December.
- Küchler, Uwe, 2004. "On integrals with respect to Lévy processes," Statistics & Probability Letters, Elsevier, vol. 66(2), pages 145-151, January.
More about this item
Keywordsterm structure of interest rates; Markovian rates; Lévy processes; Eberlein-Raible-model; bilateral gamma processes; variance gamma processes;
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