Term Structure Models Driven by General Levy Processes

DOI10.1111/1467-9965.00062zbMath0980.91020OpenAlexW2047667386MaRDI QIDQ2757293

Publication date: 26 November 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00062

zbMATH Keywords

term structure models Lévy process Markov property hyperbolic Lévy motion martingale modeling Vasiěk model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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