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Existence of Lévy term structure models · Study

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ArticleExistence of Lévy term structure models

Damir Filipović2007

OA

Articlegreen2007

Existence of Lévy term structure models

Damir Filipović · Stefan Tappe

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

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Stochastic processes and financial applications Economic theories and models Fuzzy Systems and Optimization

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References

2005Stochastic Integration and Differential Equations 2003Financial Modelling with Jump Processes 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2002The Fine Structure of Asset Returns: An Empirical Investigation 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1987Limit Theorems for Stochastic Processes 1995Hyperbolic Distributions in Finance

Cited by

2010LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE 2010Mean reversion for HJMM forward rate models 2012Heath–Jarrow–Morton–Musiela equation with Lévy perturbation 2012On a stochastic heat equation with first order fractional noises and applications to finance 2011Forward rate models with linear volatilities 2016A model for interest rates with clustering effects

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2010Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivityarticle · 10 shared references 2004Finite–dimensional Markovian realizations for stochastic volatility forward–rate modelsarticle · 10 shared references 1997Interest rate theorychapter · 9 shared references 2009Jump–Type Lévy Processeschapter · 9 shared references 2004On the Geometry of Interest Rate Modelschapter · 9 shared references 2002On the construction of finite dimensional realizations for nonlinear forward rate modelsarticle · 8 shared references

Details

Year2007

Typearticle

Published2007-10-16

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations77

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-007-0054-4

openalex_workW2018603440

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