منابع مشابه
Existence of Lévy term structure models
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.
متن کاملLévy term structure models: No-arbitrage and completeness
SUMMARY: We study the term structure models which are driven by a Lévy process, from the point of view of arbitrage and completeness. Exactly as for the Heath–Jarrow–Morton model, which fits into our class of models, we observe that the conditions on the coefficients for having no arbitrage opportunity are rather stringent. For the completeness problem, the results are quite surprising: namely ...
متن کاملExistence of Affine Realizations for Lévy Term Structure Models
We investigate the existence of affine realizations for term structure models driven by Lévy processes. It turns out that we obtain more severe restrictions on the volatility than in the classical diffusion case without jumps. As special cases, we study constant direction volatilities and the existence of short rate realizations.
متن کاملTangent Lévy market models
In this paper, we introduce a new class of models for the time evolution of the prices of call options of all strikes and maturities. We capture the information contained in the option prices in the density of some time-inhomogeneous Lévy measure (an alternative to the implied volatility surface), and we set this static code-book in motion by means of stochastic dynamics of Itôs type in a funct...
متن کاملAn Alternative Approach on the Existence of Affine Realizations for Hjm Term Structure Models
We propose an alternative approach on the existence of affine realizations for HJM interest rate models. It is applicable to a wide class of models, and simultaneously it is conceptually rather comprehensible. We also supplement some known existence results for particular volatility structures and provide further insights into the geometry of term structure models.
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2007
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-007-0054-4