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L�vy term structure models: No-arbitrage and completeness · Study

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ArticleL�vy term structure models: No-arbitrage and completeness

Ernst Eberlein2004

Article2004

L�vy term structure models: No-arbitrage and completeness

Ernst Eberlein · Jean Jacod · Sebastian Raible

119 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1997The Market Model of Interest Rate Dynamics 1997Towards a general theory of bond markets 1999Term Structure Models Driven by General Lévy Processes 2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts

Cited by

2005The Lévy LIBOR model 2010Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity 2009Risk-neutral compatibility with option prices 2007Existence of Lévy term structure models 2012A multiple-curve HJM model of interbank risk 2009Exponentially affine martingales, affine measure changes and exponential moments of affine processes 2010LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE 2007Exponential moments for HJM models with jumps

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2005Time-inhomogeneous Levy processes in interest rate and credit risk modelsthesis · 5 shared references 2002Some recent developments in stochastic volatility modellingarticle · 4 shared references 2005The Lévy LIBOR modelarticle · 4 shared references 2010Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivityarticle · 4 shared references 2007Existence of Lévy term structure modelsarticle · 4 shared references 2003The Defaultable Lévy Term Structure: Ratings and Restructuringarticle · 4 shared references

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Year2004

Typearticle

Published2004-11-03

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations119

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-004-0138-3

openalex_workW1973175113

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