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
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