Existence of Lévy term structure models
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2019
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| Accesso online: | |
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| _version_ | 1866911276907626496 |
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| author | Filipović, Damir Tappe, Stefan |
| author_facet | Filipović, Damir Tappe, Stefan |
| contents | Lévy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the Lévy 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1907_03561 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Existence of Lévy term structure models Filipović, Damir Tappe, Stefan Mathematical Finance Probability 91G80, 60H15 Lévy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the Lévy 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. |
| title | Existence of Lévy term structure models |
| topic | Mathematical Finance Probability 91G80, 60H15 |
| url | https://arxiv.org/abs/1907.03561 |