Markovian short rates in multidimensional term structure Lévy models

DOI10.4064/bc122-6zbMath1460.91279OpenAlexW3019357191MaRDI QIDQ4989145

Uwe Küchler, Pavel V. Gapeev

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the shapes of bilateral gamma densities
• Exponential moments for HJM models with jumps
• Towards a general theory of bond markets
• On integrals with respect to Lévy processes.
• On arbitrage and Markovian short rates in fractional bond markets
• Bilateral gamma distributions and processes in financial mathematics
• Term Structure Models Driven by General Levy Processes
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
• WHEN IS THE SHORT RATE MARKOVIAN?
• Bond Market Structure in the Presence of Marked Point Processes
• An equilibrium characterization of the term structure
• On Markovian short rates in term structure models driven by jump-diffusion processes
• Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model

This page was built for publication: Markovian short rates in multidimensional term structure Lévy models