A model of the term structure of interest rates based on L\'evy fields
Probability
2008-12-02 v1 Pricing of Securities
Abstract
An extension of the Heath--Jarrow--Morton model for the development of instantaneous forward interest rates with deterministic coefficients and Gaussian as well as L\'evy field noise terms is given. In the special case where the L\'evy field is absent, one recovers a model discussed by D.P.~Kennedy.
Keywords
Cite
@article{arxiv.math/0311144,
title = {A model of the term structure of interest rates based on L\'evy fields},
author = {Sergio Albeverio and Eugene Lytvynov and Andrea Mahnig},
journal= {arXiv preprint arXiv:math/0311144},
year = {2008}
}