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, 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)
Date: 2006
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Working Paper: What is the natural scale for a L\'evy process in modelling term structure of interest rates? (2006)
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DOI: 10.1007/s10690-007-9046-9

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