Markovian short rates in multidimensional term structure Lévy models

DOI10.4064/BC122-6zbMATH Open1460.91279OpenAlexW3019357191MaRDI QIDQ4989145FDOQ4989145

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

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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)

Cites Work

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• WHEN IS THE SHORT RATE MARKOVIAN?
• On arbitrage and Markovian short rates in fractional bond markets

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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