Existence of Lévy term structure models

Lévy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the Lévy driven Heath–Jarrow–Morton type term structure equation. This includes a full proof of existence and uniqueness in particular, which see...

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Published inFinance and stochastics Vol. 12; no. 1; pp. 83 - 115
Main Authors Filipović, Damir, Tappe, Stefan
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer-Verlag 01.01.2008
Springer Nature B.V
Subjects
Arbitrage
Bond markets
Brownian motion
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Finance
Financial engineering
Hilbert space
Insurance
Management
Mathematical finance
Mathematical models
Mathematics
Mathematics and Statistics
Probability Theory and Stochastic Processes
Quantitative Finance
Statistics for Business
Stochastic processes
Studies
Term structure
Uniqueness
Volatility
Zero coupon bonds
E43
60G51
Lévy term structure models
Stochastic integration in Hilbert spaces
Strong, weak and mild solutions of infinite dimensional SDEs
G10
91B70
91B28
60H15
Forward curve spaces
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ISSN0949-2984
1432-1122
DOI10.1007/s00780-007-0054-4

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Summary:Lévy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the Lévy driven Heath–Jarrow–Morton type term structure equation. This includes a full proof of existence and uniqueness in particular, which seems to have been lacking in the finance literature so far.
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ISSN:0949-2984
1432-1122
DOI:10.1007/s00780-007-0054-4