Existence of L\'evy term structure models

Damir Filipovi\'c and Stefan Tappe

Papers from arXiv.org

Abstract: L\'evy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the L\'evy 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.

Date: 2019-07
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Published in Finance and Stochastics 12(1):83-115, 2008

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