LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
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Publication:3576952
DOI10.1111/j.1467-9965.2010.00403.xzbMath1193.91188arXiv0704.2380MaRDI QIDQ3576952
Publication date: 3 August 2010
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0704.2380
91G80: Financial applications of other theories
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Kernel-correlated Lévy field driven forward rate and application to derivative pricing, Approximation and convergence of solutions to semilinear stochastic evolution equations with jumps, Heath-Jarrow-Morton-Musiela equation with Lévy perturbation, Forward rate models with linear volatilities, Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
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