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

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

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 models; probability density; Lévy process; Shirakawa model; state price density approach

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91B70: Stochastic models in economics

91G30: Interest rates, asset pricing, etc. (stochastic models)

60G52: Stable stochastic processes

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