SYMMETRIES IN LÉVY TERM STRUCTURE MODELS

DOI10.1142/S0219024906003809MaRDI QIDQ5487833zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

symmetrychange of measureHeath-Jarrow-Morton modeltime-inhomogeneous Lévy processesforward price modellibor model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Changes of numéraire, changes of probability measure and option pricing
• Financial Modelling with Jump Processes
• LIBOR and swap market models and measures
• Lévy Processes and Stochastic Calculus
• Lévy term structure models: no-arbitrage and completeness
• Symmetry and duality in Lévy markets
• Term structure models driven by general Lévy processes
• The Lévy LIBOR model
• The Market Model of Interest Rate Dynamics
• The cumulant process and Esscher's change of measure
• VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS

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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