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What is the natural scale for a L\'evy process in modelling term structure of interest rates?
Jiro Akahori Takahiro Tsuchiya
Papers from arXiv.org
This paper gives examples of explicit arbitrage-free term structure models with L\'evy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found that the probability density function of a L\'evy process is a "natural" scale for the process to be the state variable of a market.
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Downloads: (external link) http://arxiv.org/pdf/math/0612341 Latest version (application/pdf)
Related works: Journal Article: What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates? (2006) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:arx:papers:math/0612341
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