What is the natural scale for a Lévy process in modelling term structure of interest rates?

DOI10.1007/s10690-007-9046-9zbMath1283.91187arXivmath/0612341OpenAlexW2026744959MaRDI QIDQ2461277

Jirô Akahori, Takahiro Tsuchiya

Publication date: 27 November 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612341

zbMATH Keywords

term structure modelsprobability densityLévy processShirakawa modelstate price density approach

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stable stochastic processes (60G52)

Related Items (1)

A heat kernel approach to interest rate models

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