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
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
Journal title :
Stochastic Processes and their Applications
