Exponential moments for HJM models with jumps
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Publication:1003342
DOI10.1007/s00780-007-0040-xzbMath1164.60038OpenAlexW2087367740MaRDI QIDQ1003342
Jacek Yakubowski, Zabczyk, Jerzy
Publication date: 28 February 2009
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-007-0040-x
Lévy processesmartingalesHeath-Jarrow-Morton modelexponential momentsbond modelsdiscount bond pricesforward rate caveHeath-Jarrow-Morton postulate
Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Large deviations (60F10)
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