SYMMETRIES IN LÉVY TERM STRUCTURE MODELS
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Publication:5487833
DOI10.1142/S0219024906003809zbMATH Open1138.91435OpenAlexW2127460459MaRDI QIDQ5487833FDOQ5487833
Authors: Ernst Eberlein, Wolfgang Kluge, Antonis Papapantoleon 
Publication date: 12 September 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024906003809
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Cites Work
- Financial Modelling with Jump Processes
- Title not available (Why is that?)
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Lévy Processes and Stochastic Calculus
- The cumulant process and Esscher's change of measure
- LIBOR and swap market models and measures
- The Lévy LIBOR model
- The Market Model of Interest Rate Dynamics
- Changes of numéraire, changes of probability measure and option pricing
- Lévy term structure models: no-arbitrage and completeness
- Term structure models driven by general Lévy processes
- VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS
- Symmetry and duality in Lévy markets
Cited In (6)
- A pure-jump mean-reverting short rate model
- An arithmetic pure-jump multi-curve interest rate model
- Symmetry and duality in Lévy markets
- On the duality principle in option pricing: semimartingale setting
- A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets
- First steps towards an equilibrium theory for Lévy financial markets
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