Mathematics of the bond market. A Lévy processes approach

DOI10.1017/9781316181836MaRDI QIDQ4959979zbMATH OpenOpenAlexFDO

Authors Michał Barski, Jerzy Zabczyk

Publication date 8 April 2020

Full work available at URL https://doi.org/10.1017/9781316181836

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial markets (91G15) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70)

Recommendations

• Completeness of bond market driven by Lévy process
• Incompleteness of the bond market with Lévy noise under the physical measure
• Forward rate models with linear volatilities
• Towards a general theory of bond markets
• Heath-Jarrow-Morton-Musiela equation with Lévy perturbation

Cited in

(9)

• Towards a general theory of bond markets
• Forward rate models with linear volatilities
• A mathematical model for the bond market.
• A theory of stochastic integration for bond markets
• The investor problem based on the HJM model
• Incompleteness of the bond market with Lévy noise under the physical measure
• On the reducibility of affine models with dependent Lévy factors
• Heath-Jarrow-Morton-Musiela equation with Lévy perturbation
• Affine term structure models driven by independent Lévy processes

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