Forward rate models with linear volatilities

DOI10.1007/s00780-011-0163-yzbMath1252.91064arXiv1512.05321OpenAlexW1969188538MaRDI QIDQ1761457

Michał Barski, Zabczyk, Jerzy

Publication date: 15 November 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.05321

zbMATH Keywords

bond marketrandom fieldsHJM conditionlinear volatility

Mathematics Subject Classification ID

Random fields (60G60) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Stochastic integral equations (60H20)

Related Items

Heath-Jarrow-Morton-Musiela equation with Lévy perturbation ⋮ Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model ⋮ Monotonicity of the collateralized debt obligations term structure model

Cites Work

• Unnamed Item
• Unnamed Item
• Existence of Lévy term structure models
• Term-structure models. A graduate course
• Exponential moments for HJM models with jumps
• Towards a general theory of bond markets
• Two results on continuity and boundedness of stochastic convolutions
• Term Structure Models Driven by General Levy Processes
• Continuity of Stochastic Convolutions
• LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
• Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• Lévy Processes and Stochastic Calculus
• Stochastic Partial Differential Equations with Levy Noise