On the valuation of compositions in Lévy term structure models
From MaRDI portal
Publication:3404105
DOI10.1080/14697680902849346zbMath1182.91184arXiv0902.3456MaRDI QIDQ3404105
Antonis Papapantoleon, Wolfgang Kluge
Publication date: 5 February 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0902.3456
60G51: Processes with independent increments; Lévy processes
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
42A38: Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type
Related Items
Cites Work
- Unnamed Item
- Towards a general theory of bond markets
- LIBOR and swap market models and measures
- Lévy term structure models: no-arbitrage and completeness
- The Lévy LIBOR model
- Term Structure Models Driven by General Levy Processes
- Computation of copulas by Fourier methods
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- The Market Model of Interest Rate Dynamics
- VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS