Heath-Jarrow-Merton model with linear volatility
Probability
2023-05-29 v2
Abstract
We consider the Heath-Jarrow-Morton model of forward rates processes with linear volatility. The noise is either a Wiener or a pure jump Leevy process. We provide formulae for the forward rate processes, and discus the problem of their global in time existence.
Cite
@article{arxiv.2304.08075,
title = {Heath-Jarrow-Merton model with linear volatility},
author = {S. Peszat and J. Zabczyk},
journal= {arXiv preprint arXiv:2304.08075},
year = {2023}
}