What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?

Jiro Akahori () and Takahiro Tsuchiya ()

Asia-Pacific Financial Markets, 2006, vol. 13, issue 4, pages 299-313

Keywords: State price density approach; Term structure models; Shirakawa model; Lévy process; Probability density; 91B70; 60G52; G12 (search for similar items in EconPapers)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10690-007-9046-9 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this article

Asia-Pacific Financial Markets is edited by Ryozo Miura

More articles in Asia-Pacific Financial Markets from Springer
Series data maintained by Christopher F. Baum ().