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

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Cites work

• A theory of the term structure of interest rates
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• WHEN IS THE SHORT RATE MARKOVIAN?

Cited in

(5)

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

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