• Title of article

    A model of the term structure of interest rates based on Lévy fields

  • Author/Authors

    Albeverio، نويسنده , , Sergio and Lytvynov، نويسنده , , Eugene and Mahnig، نويسنده , , Andrea، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2004
  • Pages
    13
  • From page
    251
  • To page
    263
  • Abstract
    An extension of the Heath–Jarrow–Morton model for the development of instantaneous forward interest rates with deterministic coefficients and Gaussian as well as Lévy field noise terms is given. In the special case where the Lévy field is absent, one recovers a model discussed by D.P. Kennedy.
  • Keywords
    Term structure of interest rates , HJM model , Kennedy model , Lévy fields
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    2004
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1577515