Calibration of Lévy Term Structure Models

Ernst Eberlein · Wolfgang Kluge

32 citations0/0 files storedApplied and numerical harmonic analysis

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

Abstract

We review the Lévy-driven interest rate theory that has been developed in recent years. The intimate relations between the various approaches, as well as the differences, are outlined. The main purpose of this paper is to elaborate on calibration in the real world as well as in the risk-neutral setting.

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References

1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2003Limit Theorems for Stochastic Processes 2002The Fine Structure of Asset Returns: An Empirical Investigation 1990The Variance Gamma (V.G.) Model for Share Market Returns 1997Processes of normal inverse Gaussian type 2001Interest Rate Models Theory and Practice 1995Hyperbolic Distributions in Finance 2003Lévy processes in finance pricing financial derivatives

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