Markovian short rates in multidimensional term structure Lévy models

DOI10.4064/BC122-6MaRDI QIDQ4989145zbMATH OpenOpenAlexFDO

Authors Pavel Gapeev, Uwe Küchler

Publication date 20 May 2021

Published in Banach Center Publications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/bc122-6

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 1639859 (Why is no real title available?)
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• Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
• Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
• On Markovian short rates in term structure models driven by jump-diffusion processes
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• On the shapes of bilateral gamma densities
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• WHEN IS THE SHORT RATE MARKOVIAN?

Cited in

(5)

• What does the market price of risk tell us in the single factor interest rate model?
• When is the short rate Markovian?
• On Markovian short rates in term structure models driven by jump-diffusion processes
• Markovian spot rate dynamics with stochastic volatility structures
• Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment

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