A model of the term structure of interest rates based on Lévy fields

DOI10.1016/j.spa.2004.06.006zbMath1151.91471arXivmath/0311144OpenAlexW2044796150MaRDI QIDQ2485808

Andrea Mahnig, Sergio A. Albeverio, Eugene W. Lytvynov

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0311144

zbMATH Keywords

HJM modelTerm structure of interest ratesLévy fieldsKennedy model

Mathematics Subject Classification ID

Related Items (10)

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Cites Work

• Towards a general theory of bond markets
• Functional analysis. Vol. 1-2. Transl. from the Russian by Peter V. Malyshev
• Interest Rate Dynamics and Consistent Forward Rate Curves
• ORTHOGONAL DECOMPOSITIONS FOR LÉVY PROCESSES WITH AN APPLICATION TO THE GAMMA, PASCAL, AND MEIXNER PROCESSES
• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Characterizing Gaussian Models of the Term Structure of Interest Rates
• Bond Market Structure in the Presence of Marked Point Processes
• Stationary Stochastic Processes. (MN-8)
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